Option replication and exotics journal

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Quote from riskarb:

GBPUSD barrier[binary k/o call] -- 1.8052
Premium: $32,000 USD
Payout: $50,000 USD [includes prem paid]
Expires: Aug 16, 2005 at 10am EDT settle
Negative edge: $2,600 USD

Long $1mm GBP/USD from 1.7844 into the no touch call -- short synthetic binary straddle. Loss of $32k debit if 1.8052 is touched.

GBPUSD barrier[binary k/i put] -- 1.7600
Premium: $5,200 USD
Payout: $25,000 USD [includes prem paid]
Expires: Aug 16, 2005 at 10am EDT settle
Negative edge: $650 USD

Sell stop on my 1mm GBP spot position. Earns the $25k payout if 1.7600 is touched.


Summary: A short binary synthetic straddle w/stop; or a long GBP spot with risk-reversal[collar].
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Spot: +$25k
Call Barrier: ($32k)
Net: ($7k)
 
USDCAD barrier[binary long call] -- 1.2095
Premium: $15,200 USD
Payout: $25,000 USD [includes prem paid]
Expires: Aug 19, 2005 at 10am EDT settle
Negative edge: $1,200 USD

Well within one sigma at the barrier. The gamma is incredibly-cheap considering all the spot vol. Tried to make a case for short gamma, but couldn't... so here's a loooong gamma play. Wanted a 1:1 r/r, but didn't want to extend past 1.2100 on spot to get it.

Short 600k USDCAD from 1.2025 into a buy-stop at 1.2097

Synthetic short straddle. Flat deltas.
 
Quote from Trend Fader:

Just curious how much $ u up or down.. since the start of this journal based off the trades posted??
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I haven't netted it out yet. I will tally every weekend. Probably down about $10k or so. Had mark to market gains of $150k that were blown out near expiration. Going to trade quite a bit tighter/conservative going forward.
 
Quote from riskarb:

I haven't netted it out yet. I will tally every weekend. Probably down about $10k or so. Had mark to market gains of $150k that were blown out near expiration. Going to trade quite a bit tighter/conservative going forward.
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Are you trading your own money? Seems like you have access to istitutional style trading platforms..
 
Quote from Trend Fader:

Are you trading your own money? Seems like you have access to istitutional style trading platforms..
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I am a principal in my brother's offshore fund. I get a piece of each position. The only downside to trading otc is dealing with French brokers. ;) The barriers to entry are high when trading otc equity vol. FX is fairly easy to penetrate. UBS will give offshore funds full-access to FX exotics for $500k.
 
The only downside to trading otc is dealing with French brokers. ;)
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Hey what's wrong with french brokers? :mad:
They have the reputation of having the best financial engineers...

Seems like you have access to istitutional style trading platforms
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Exotics are also available for retail customers at betonmarkets (GB)-currencies and indices.
 
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