Thank you.
You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Option replication and exotics journal
- Thread starter riskarb
- Start date
- Status
- Not open for further replies.
Rock on risk!
Looks like the beginning of a great Journal
Looks like the beginning of a great Journal
Selling 100k USD/JPY here at 112.86
Short 250k USD/JPY "touch" struck at 111.36 to expire on 7/26
Long 50k USD/JPY "touch" struck at 113.38 to expire on 7/26
Position resembles a short straddle that reaches neutrality at 112.32[today] with upside call. Added gamma at the short touch, position is 2x5[spot/exotic]. The additional gamma/vega to pay for the upside touch at 113.38
Short 250k USD/JPY "touch" struck at 111.36 to expire on 7/26
Long 50k USD/JPY "touch" struck at 113.38 to expire on 7/26
Position resembles a short straddle that reaches neutrality at 112.32[today] with upside call. Added gamma at the short touch, position is 2x5[spot/exotic]. The additional gamma/vega to pay for the upside touch at 113.38
Quote from riskarb:
Selling 100k USD/JPY here at 112.86
Short 250k USD/JPY "touch" struck at 111.36 to expire on 7/26
Long 50k USD/JPY "touch" struck at 113.38 to expire on 7/26
Position resembles a short straddle that reaches neutrality at 112.32[today] with upside call. Added gamma at the short touch, position is 2x5[spot/exotic]. The additional gamma/vega to pay for the upside touch at 113.38
Sold a half position in USD/JPY at 112.70 [short 150k spot from 112.78]
Quote from riskarb:
Selling 100k USD/JPY here at 112.86
Short 250k USD/JPY "touch" struck at 111.36 to expire on 7/26
Long 50k USD/JPY "touch" struck at 113.38 to expire on 7/26
Position resembles a short straddle that reaches neutrality at 112.32[today] with upside call. Added gamma at the short touch, position is 2x5[spot/exotic]. The additional gamma/vega to pay for the upside touch at 113.38
50k touch was paid. Net effect on running-position is to increase the synthetic straddle credit by $550 per unit. Short 150k spot from 112.78; b/e at 114.22 on spot.
Quote from riskarb:
Looking to be flat to long delta in EUR/USD due to tame-reaction to the blistering Retail data and CPI. The vol-skew is flat, so it was a toss-up whether to go long spot/risk-reversal or short spot/risk-conversion, but it more closely resembles a synthetic short straddle using exotics.
*** Long 100k EUR/USD at 1.2082
*** Short 200k EUR/USD touch exotic, struck at 1.2220, expiring July 22 at 10amEDT
***Long 70k EUR/USD touch exotic, struck below the recent lows at 1.2038
To limit the confusion... the position loses $600 at the 1.2220 strike and earns approx. $2,600 at the lower strike{at expiration].
I expect the lower[1.2038] strike to be hit resulting in a payout. With luck the EUR/USD will hit my long touch at 1.2038 and creep higher. In either case it resembles a bull synthetic short straddle with a long put. There is a lot of bleed in the greeks; too much so to break the position down any further.
Thanks Choad.
Bought a half-position in EUR at 1.2162; long 150k EUR/USD into my short barrier at 1.2220. Received $600 per unit on the touch strike at 1.2038, so I will trade +$200 per unit if we hit my short barrier at 1.2220 before Friday's expiration. A multiple of that gain if we don't hit the strike in the next 48 hours, and the EUR doesn't crack to hard. I will be covering the long EUR spot if we trade to 1.2210.
Quote from riskarb:
50k touch was paid. Net effect on running-position is to increase the synthetic straddle credit by $550 per unit. Short 150k spot from 112.78; b/e at 114.22 on spot.
Short touch was hit on the Yuan reval. Lost ($1800) on the 2.5-unit short touch; up $550 on the long touch. Covered the 150k spot at 110.35 a few moments ago, +$3,600 [netting $2,350/unit on entire position]
- Status
- Not open for further replies.