Trade Date 01 Feb 2021

One month Expiration

The cost of the strangle was 54 tics.

Our initial delta hedge Sell at .9000 buyback at .8920 we made 78.5 tics but since it was only on 50% of the hedge it was 78.5/2 = 39.25 tics on the full position

The second delta hedging we sold at .9040 and again at.9095 and with the forward roll turned into an average of 9065.5

Today we exercised the 89.75 CHF put at expiration.

The total gain is 90.5 + 39.25 = 129.75

Gross gain on Capital = 129.75/54 = 240% return on capital

Feb 3rd, 07:36 AM PST

We were filled at.9000 order We roll out to the del date at an all-in rate of .89935

Sell 50% of the position at .9193

Buy 50% of the position at .8920

We were filled on our buy order at .8920

We rolled forward to the del date at .8915

Sell 50% of the position at .9040

Buy 50% of the position at .8775

Buy One Month Expiry USDCHF Strangle Spot Ref 89.15 Time Singapore 07:38 AM

CHF Call - USD Put Strike 88.25 Cost in CHF tics 29.5 (5.85 Vol)

CHF Put - USD Call Strike 89.75 Cost in CHF tics 24.5 (5.75 Vols)

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Total Cost in CHF tics 54.00

Delta Hedge Orders

Sell 50% of the Hedge at 90.00

Buy 50% of the Hedge at 87.75

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