We Exercise the 1.1500 Put

Average buy = 1.1415

Net Gain = 1.1500- 1.1415 = 85 tics

Cost of the Strangle = 71.10

Gross Gain = 85/71.1 = 119%

We are altering the Delta hedge order slightly

Sell 50% of the hedge at 1.1415

Sell 50% at 1.1514 Good

Order filled at 1.1360 (12:59 PM PST) rolled to del date at 1.13645

New Order

Sell the full hedge at 1.1514

1.1460 Order filled at 00:12 PST Nov 11th

Rolled to the delivery date at 1.1465

Sell 50% of the hedge at 1.1545

Buy 50% of the hedge at 1.1360

One Month Expiry 2021-12-08( 30 days)

Spot Ref 1.1563

Buy One Month 1.1650 EUR Call Cost 33.2 tics

Buy One Month 1.1500 EUR put Cost 37.9 tics

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Net Cost is 71.10 US cents

Same amount on both sides (Vol Ref 5.05 and 4.85)

Initial Delta Hedge Orders

Sell 50% of the hedge at 1.1690

Buy 50% of the hedge at 1.1460

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