Option replication and exotics journal

[riskarb]

Quote from smilingsynic:

How short term is this spec (a day? a week? longer?). I am somewhat surprised, since I haven't seen many of these kinds of positions in your journal.

Very short term -- a few days at best.

 

[riskarb]

Sold 50 ES 126800 -- think we'll see 1250-52 this week.

 

[riskarb]

Quote from riskarb:

Sold 50 ES 126800 -- think we'll see 1250-52 this week.

Buy stop at 127900.

 

[riskarb]

Quote from riskarb:

Buy stop at 127900.

Covered at 127750.

 

[riskarb]

Dax single barrier, no touch -- 5650
Premium: $1,080,000
Payout: $2,000,000 [includes prem paid]
Expires: Feb 24, 2006
Negative edge: a lot
Strike/barrier volatility: 12.50%
Symmetrical hedge: +250 March FDAX futures
Initial hedge: +150 March FDAX from 553200 average

Weak upside^2 [g/d] short exotic straddle


Smells like short covering on this crazy two-day move. 100-light on the hedge. Trading the weekly was great, but I'd prefer to gain some vega exposure, although vols are so soft. Weekly gamma forces me into huge hedge curvature, which I'd like to avoid. >12 vol was a decent sale, IMO.

 

[riskarb]

I will likely offset the futures hedge if we see a print of 5615 and let the barrier ride. The barrier is priced to DAX cash.

 

[Prevail]

Quote from riskarb:

Covered at 127750.

I guess prediction company can't always be right. I read the Predictors many years ago and again recently, very interesting.

 

[riskarb]

Quote from riskarb:

I will likely offset the futures hedge if we see a print of 5615 and let the barrier ride. The barrier is priced to DAX cash.

Sold futures at 565800 average. +574,000 on hedge. Expect to hit the barrier Monday.

Edit: Cash hits barrier. Out the debit less the $574,000. Working another Dax into the weekend, will post the fills in a few minutes.

 

[riskarb]

Dax cash single barrier, no touch -- 5760
Premium: $1,205,000
Payout: $2,000,000 [includes prem paid]
Expires: Feb 10, 2006
Negative edge: a lot
Strike/barrier volatility: 13.00% [up from 12.20 yesterday]
Symmetrical hedge: +380 March FDAX futures
Initial hedge: +180 March FDAX from 566600 average

Weak upside^2 [g/d] short exotic straddle

__________________________________________________

Strip vols continue to rise; feel fortunate to receive a 13 on the vol-line for the barrier volatility. I would trade it larger, but this upside vol is chaotic. 14d hold on this one.

Sub-account took a net $506,000 hit on previous. Feel the +expectancy of the current trade is roughly in line with the hit-taken, even in light of the weak hedge at +180 FDAX.

 

[riskarb]

Sold Mar SGX Nikkei futures at 16,700.