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Three
Month Expiry 2019-08 - 27
The is the trade we would like to put on based on a spot of 1.2674
Buy 3M Expiry 1.2800 GBP Straddle (1.2800 GBP Put + 1.2800 GBP Call)
Total Cost in % of GBP 3.15%
Expiry 6M Expiry
2019 - 11 -27
Sell 1.2800 GBP Straddle (1.2800 GBP Put + 1.2800 GBP Call)
Total Premium Received = 5.14%
Net Premium Received = 1.99%
The residual delta on initiation is approx. -.10 (Very slightly short GBP)
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