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17 - Feb - 2020  07:34 AM PST 

One Month GBPCAD Strangle
March 12th: Cost of the strangle in FX points = 96 tics (=0.55%) Total Gain on FX trading = 1.7603 - 1.7350 = 253 tics + premium received on sale of the Options = 87 tics
Gross Return = (253+87) / 96  = 354% 
March 12th, 07:31 AM PST : Filled at 1.7350 bought back the full hedge.  
March 12th, 07:31 AM Sold the Mar 17th strangle at .50% of Face. 
Follow up: Put a bid in to cover the full hedge at 1.7350, if done, sell the options. 
March 9th 2020: Filled on the order at 1.7725 sold 50% of the delta and rolled to the delivery date at 1.7728 to Mar 19th
March 6th 2020: Filled on the order at 1.7475 sold 50% of the delta and rolled to the delivery date at 1.7478 to Mar 19th
Leave an order to sell the balance of the delta at 1.7725

Trade Ideas : GBPCAD One Month Strangle 
Trade Idea: Spot Ref  : Based on Spot of 1.7218


1-Month   Expiry 2020-03-17 NY Cut

 
The is the trade we would like to put on based on a spot of  1.7217

Buy 1.7435 GBPCall cost 0.275%
Buy 1.7035  GBPPut cost 0.275%
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Total Cost                                                     0.55%


hedge half the position at 1.7475 on the topside and half the position at 1.6925 on the downside

 

 
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FXVOLRESEARCH  

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