As mentioned in our weekly we continue to believe CHF calls are undervalued.

Spot Ref .8839 3 Month Forward Outright 8813

Expiry Date 2021-03-31

We Buy 8600 CHF calls (USD Puts) based on spot ref of 8839

Cost 44.4 CHF tics Vol Ref 7.31

Delta hedge we buy 27% of the nominal at forward outright rate of 8813.

Delta Hedge order : Sell the full hedge at .8993 Leave standing order