Hedge Detail Report — All Defensive Doubles & Option Calculations
Nov 2024 — May 2026
511 trades · 56 doubles
Hedge Cost Summary
Total Doubles
55
of 502 trades (11.0%)
Recovered
53
96% recovery rate
Gross Premium
$65,600
total options bought
Sell-Back
$53,023
81% avg recovery
Net Hedge Cost
$14,562
17.9% of P&L
Cost Per Trade
$29.01
across all 502 trades
P&L Waterfall
Gross Trading P&L
$81,238
Option Premiums Paid
-$65,600
Option Sell-Back Revenue
+$51,038
Net Hedged P&L
$68,115
Straddle vs Single Option
Single Protective Option
$15,286
net cost · 18.3% of P&L
Buy protective put/call at 1% OTM when double triggers. Sell back when position closes. Caps loss at 3%.
Straddle (Put + Call)
$9,993
net cost · 12.0% of P&L
Buy both sides at double point. Protective side caps loss, recovery side profits from ~35% mean reversion. Saves 40% of hedge cost.
Straddle Hedged P&L
$73,408
vs $68,115 single option
Recovery Profitable
43/56
76% of doubles
Avg Recovery Gain
$200
when profitable
Worst Extra Cost
$851
GBPCAD Oct 2025 (672hrs)
Straddle risk: When doubles take 500+ hours to resolve (5 of 56 cases), the recovery option expires worthless — costing one extra premium. No cases of catastrophic loss on the recovery side. Total extra cost across all 13 worse cases: $3,177. Total savings across 41 better cases: $8,219. Net benefit: +$5,043.