Option replication and exotics journal

[riskarb]

Quote from riskarb:

Still too lazy to run the numbers on the GBP/JPY trade; actually, it's simply that the GBP keeps taking out the highs. I went flat the carry trade in GBP/JPY a few moments ago in selling spot at 210.68.

I'm in a Nikkei double and a large SPX synthetic that goes OTB tomorrow.

Sold some Nikkei Jan 15,250 synthetic straddles at 700 tonight on SIMEX(SGX). Think we've come too far, too fast and Japan tends to go to sleep into the holidays.

Bought the Mar futures and sold the 15,250//16,000 outside strangle at 350 adjusted for the futures loss, doubling the contract size. Had earned 300 ticks on my Nikkei short futures into the Mizuho break, but gave it back on my 15,250 synthetic straddle. Long 15 Mar SGXNK futures into the call gamma from 15,720.

 

[mahras2]

B,

Wheres you P/L sitting at this point?

 

[riskarb]

Quote from mahras2:

B,

Wheres you P/L sitting at this point?

$2,146,800 marked in r/t in the fund.

 

[Trend Fader]

Quote from riskarb:

Time to buy JPY across the board -- so no JPY carry trade for a few more days. GBP/JPY 212.35L, expecting 208.00 soon.

Why do u think its time to buy jpy?

 

[riskarb]

Quote from Trend Fader:

Why do u think its time to buy jpy?

Increases in current acct surplus and wholesale price growth. USD seems to be losing momo above 121.

 

[riskarb]

God, how I hate to be short upside gamma.

 

[Trend Fader]

Quote from riskarb:

Increases in current acct surplus and wholesale price growth. USD seems to be losing momo above 121.

How do u handle the negative interest factor of shorting usd/jpy.. do u just short spot?

 

[riskarb]

Quote from Trend Fader:

How do u handle the negative interest factor of shorting usd/jpy.. do u just short spot?

I don't trade -carry; I simply avoid the pair until I receive a signal to go long.

 

[Trend Fader]

Quote from riskarb:

I don't trade -carry; I simply avoid the pair until I receive a signal to go long.

Interesting... besides losing money on the -carry... is there any other reason not to trade in that direction?

 

[riskarb]

Quote from Trend Fader:

Interesting... besides losing money on the -carry... is there any other reason not to trade in that direction?

I don't trade anything based primarily on direction. So it's simply not in my interest to trade fx beyond the carry trade.