Option replication and exotics journal

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Quote from riskarb:

Sold 10 FDAX at 4920 -- flat futures -- out $16k hedging this one. Unlikely that I will hedge further, will favor an offset.

Exotic blotter from inception of journal: +$156,000
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Ugh... Caught in the headlights on this one. Got buggered on the Dax double no touch.

Exotic blotter from inception of journal: +$100,000

Open position:

Nik double no touch expiring Aug 30.

Will be implementing a more discrete hedging strategy.
 
DAX double barrier no touch -- 4700//4920
Premium: 44,000 EUR
Payout: 100,000 EUR [includes prem paid]
Expires: Sep 2, 2005
Negative edge: 3,200 EUR
Neutrality: 4810

Initial hedge: 4865buy//4775sell * 15 DAX futures

Exotic blotter: +$100,000
 
Long AUD/JPY carry trade -- synthetic no touch straddle:

Long AUD/JPY from 83.40Y + Short the 7d 84.25 no touch at 9vol and 3:2 risk-reward. Geared at 100:1 on spot fx.

Risk to strike is a zero P&L at 84.25... if barrier is hit I will short another 7d no touch at 85.25 and continue to hold the spot position into the rollover of the synthetic straddle.
 
Quote from riskarb:

DAX double barrier no touch -- 4700//4920
Premium: 44,000 EUR
Payout: 100,000 EUR [includes prem paid]
Expires: Sep 2, 2005
Negative edge: 3,200 EUR
Neutrality: 4810

Initial hedge: 4865buy//4775sell * 15 DAX futures

Exotic blotter: +$100,000
More...

Selling 25 FDAX at the open.
 
Quote from riskarb:

Long AUD/JPY carry trade -- synthetic no touch straddle:

Long AUD/JPY from 83.40Y + Short the 7d 84.25 no touch at 9vol and 3:2 risk-reward. Geared at 100:1 on spot fx.

Risk to strike is a zero P&L at 84.25... if barrier is hit I will short another 7d no touch at 85.25 and continue to hold the spot position into the rollover of the synthetic straddle.
More...

What if AUD/JPY falls to 82.55 (which is I guess the other breakeven level of the strategy)? Close spot position or short another 7d no touch at 83.40?
 
Quote from kalashnicac:

What if AUD/JPY falls to 82.55 (which is I guess the other breakeven level of the strategy)? Close spot position or short another 7d no touch at 83.40?
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I'll wait for the original barrier to expire before rolling, but that's the idea. Further rolls will show gains if barrier is hit. I'll reduce exotic exposure or raise the strike.
 
Quote from riskarb:

DAX double barrier no touch -- 4700//4920
Premium: 44,000 EUR
Payout: 100,000 EUR [includes prem paid]
Expires: Sep 2, 2005
Negative edge: 3,200 EUR
Neutrality: 4810

Initial hedge: 4865buy//4775sell * 15 DAX futures

Exotic blotter: +$100,000
More...

Long 15 FDAX at 4852
 
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