Currency Box Options

Quote from atticus:

MK -- realize that edge is proportional to vega-sensitivity, and therefore, duration.
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I think I understand what you mean here. You are saying because we are basically selling premium, we wanna be selling high vega. If I got that right, then I understand clearly, thanks.

I didn't even have to pull out Natenberg to figure it out either. Just had to reconnect some old neuron pathways.

I'm off to sleep. Have fun today.

Kind regards,
MK
 
Got (very) lucky on that demo box. Would have worked out great if I didn't lose so much money trying to be fancy with hedges like mr. atticus :eek: Certainly need to define some rules in place for that type of behavior. This was just ad hoc.

Here was part of my pre-market prep on the yen on why I had upside bias for the day.

MK
 

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I'm considering using these.. curious about the following:

a) not that this applies to me in the slightest now, how is scalability? Can these support $10 million or higher easily? By easily of course I would expect worse transaction costs, but would these be substantially worse than the equivalent in spot fx for a roughly similiar outcome-sized position?

b) Are these treated the same as futures contracts (eg 1256 contracts) for US taxation purposes?

c) For my purposes I just want exposure to delta and not much volaitility sensativity (theta I think?) -- I want these to be reasonably close to positional/directional trading on the underlying in terms of payoff. I'm not quite sure how to structure them as such. The only reason I want to use these is for risk control purposes. Currently I trade the underlying spot fx entering every Sunday when the spread is low (eg after liquidity returns to the markets after the weekend is over) and exit Fri morning at the latest. However my trades are supposed to last a month if that makes sense, so I often have to re-enter in the same exact pair and position. I would prefer to just enter trades on the 1st or 2nd of each month and leave them until end of month, instead of making 4-5 trades all in the same direction if that makes sense.

Basically I want monthly delta exposure without the complications arising from having to close and reopen positions each weekend, while retaining limited risk. These seem to fit the bill at first glance.
 
Quote from MidKnight:

... It either played out as the box was setup and the maximum payout was received, or you lost the premium. If my memory is correct, then this makes the timing even more crucial with these instruments over vanilla options.
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That's true, a really big challenge.
 
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