From $60K to $600K

techlogik · Jul 3, 2019

Thanks for that reply. Are you targeting a specific Beta related to SPX as a standard rule? Generally above it etc? Thx

destriero · Jul 3, 2019

Should've covered shorts. Down $138 on the day.

destriero · Jul 3, 2019

I got lucky with an arb in that same name from last week. Will be good for $1,800 on the 12th.

destriero · Jul 8, 2019

Nothing to report as the arb in the IRA has no var.

First day "on my own" and actually trading through the PB.

SPX JUL19 2900/3050 DNT done at 72/100 (worth 70) but couldn't get it done at a better price. Just thrilled to be trading OTC again.

srinir · Jul 8, 2019

destriero said:
Nothing to report as the arb in the IRA has no var.

First day "on my own" and actually trading through the PB.

SPX JUL19 2900/3050 DNT done at 72/100 (worth 70) but couldn't get it done at a better price. Just thrilled to be trading OTC again.

Trying to understand the replication in vanilla.

2895/2900/3050/3055 IC is close approximation of the above right? It is trading at 0.50 for the 5 wide. Assuming touching is double that of plain vanilla, shouldn't the double barrier be around 80/100?

destriero · Jul 8, 2019

srinir said:
Trying to understand the replication in vanilla.

2895/2900/3050/3055 IC is close approximation of the above right? It is trading at 0.50 for the 5 wide. Assuming touching is double that of plain vanilla, shouldn't the double barrier be around 80/100?

You can replicate a digital double with a vanilla, but not a touch. Price the proximal touch probability and invert for payout.

kinggyppo · Jul 8, 2019

destriero said:
Nothing to report as the arb in the IRA has no var.

First day "on my own" and actually trading through the PB.

SPX JUL19 2900/3050 DNT done at 72/100 (worth 70) but couldn't get it done at a better price. Just thrilled to be trading OTC again.

congrats take their $$$!

destriero · Jul 11, 2019

I am going to be out of town for a week and with spotty internet. I am still holding the arb and a small AGN and AAPL position. AGN is a small diagonal into the deal. AAPL is a small fly position neutral to 198.

The cash and sweep reflects the taxable account balance of $24.4K that I'd left in TDA to keep funded and receiving quotes after pulling my IRA balance. I had mistakenly placed a trade in the account which boosted the YTD PNL, so I am adding it to future runs.

I am going to quote the combined taxable and IRA going forward as it reflects the overall YTD PNL figure.

destriero · Jul 11, 2019

YTD gain of $420,222. 9% gain from inception of the journal (calculated from $63K). I'll be using the new combined net liq going forward.

destriero · Jul 11, 2019

$420,748