Option replication and exotics journal

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Quote from riskarb:

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.
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As mentioned, the trade earned $200 per unit, as the short barrier was hit.
 
Replication #2:

Short ER2 or RUT Aug 665 straddle at 15.90% vol
Long YM Aug 10600 straddle at 9.20% vol
To the sell: $100 per unit


Traded 2:1 favoring YM longs. Receiving a ($1.00) credit, marked at 11:52 EDT.

Looking to hold to something above parity. It's long correlation, long gamma/vega/dgamma.


Edit: Short NQ here at 1605, spec trade. 1585 target/1615 stop.
 
Quote from riskarb:

Short a no touch on the GBP/USD struck at 1.7352. Received $480, risking $520 per 100k notional. Expires 7/26
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Sold 25k spot position at 1.7515 into the no touch. Converted to a synthetic short straddle. Risk at the barrier-strike is zero.
 
Quote from riskarb:

Sold 25k spot position at 1.7515 into the no touch. Converted to a synthetic short straddle. Risk at the barrier-strike is zero.
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Letting the no touch run solo -- bought back the spot at 1.7380
 
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