Trade Idea: Buy 2-week CHF strangle strikes 9870 & 9660  

Given the lack of liquidity in the market we would leave this trade as an order. 

Two week Expiry 2020 -04 - 20

Two week 9870 put cost 18 CHF tics 

Two week 9660 call cost 24 CHF tics 

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Net Cost 42 CHF tics 

CHF put  delta -22

CHF call  delta 24

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Net delta at Trade date -02 

ATM vol ref 6.83 

Delta re-balance suggestions

Buy 50% of the hedge at 9630

Sell 50% of the hedge at 9900