FXVOLRESEARCH
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20 - July - 2020  08:00 AM  PST  

AUG 20th 5:54 AM PST We sold 50% of the hedge at 1.7350. 
The 1.7335 expired out of the money at expiry we bought back the full hedge at 1.7329
The net average position was short at 1.7432
Net gain on the delta hedging was 103 tics 

Cost of the option was 103 tics = net gain was basically flat 
AUG 18th, I am also moving the topside order down to 1.7550. 
AUG 17th. I am moving the bid in GBPCAD up to 1.7250 as we are only three days from expiry.
Leave New Delta Hedge order to buy 50% of the hedge back at 1.7357

Order filled at 01:30 PST on 5 AUGUST and rolled to del date at 1.7358

New follow up Orders

Sell 50% of the hedge at 1.7580 and Buy 50% of hedge at 1.7250


28 July 2020: 07:57 am PST We were filled at 1.7335 and rolled to the delivery  date 1.7337

Leave a new topside order to sell the balance of the delta at 1.7535
30 July 2020: 07:27 am PST We were filled at 1.7535 and rolled to the delivery  date 1.7536

We have now sold the full hedge at an average of 1.74365
Trade Idea: Buy One Month GBPCAD  Strangles  

One Month  Expiry  2020 -08 - 20 (31 Days) 

Spot Ref 1.7135 Vol Ref 6.35 

GBPCAD   Call Strike 1.7335 cost 52  tics 
GBPCAD   Put Strike  1.6935 cost 49 tics 
______________________________

Total Cost in CAD tics 101

Initial Delta Hedge Orders 

Sell 50% of the hedge at both the topside 
Buy 50% of the hedge at the downside stike. 


 

 
Research Director
FXVOLRESEARCH  

Direct: 604-685-4414
skype: jamesrider1