At Expiry the Options all end out of the money : Net gain on the trade is 109 tics, Gross Return is 198% (109/55)
Our order at 1.0020 was NOT filled - missed it by 1 tic
Leave NEW sell order at 1.0020 for full amount good to 10AM NY time Friday.
Feb 27 1:53 AM PST: Bought back the full hedge at 9975 spot and rolled out to delivery date 9972.
Oct 13th 2:55PM PST- Put the full hedge on at 1.0100 rolled to the delivery date at 1.0081
Put in an order to buy back the hedge at .9975
Impleid Vol in the CHF curve are back at levels that signal a buy both on a percentile rank basis and in terms of IV-AV spreads. We would caution though that the FX market have generally been consolidating and that active delta hedging is required to extract value. However if we do see some key breaks, then back off and let the deltas run.
