One Month Expiry 2019-05 - 02 (30 Days) Expired Out of the Money.
Three Month Expiry 2019 - 07 -03 (92 Days) Spot at Expiry 89.68
The is the trade we would like to put on based on a spot of 85.75
Sell 1 month 83.50 / 88.00 Strangle receive net Premium 0.96% of EUR
Buy 3 Month 86.00 EURGBP Straddle (on the same amount) 3.93% of EUR
Net Cost of the spread = 2.97%
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