Option replication and exotics journal

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Quote from riskarb:

Sold 10 ES at 11.25; +$1,000

Bought 10 Sep FDAX at 4829. Long 10 Dec from 4855. Flat ES

Exotics blotter: +$139,900
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Sold the 10 Sep FDAX at 4863.00; +$10,500... holding 10 Dec FDAX from 4855.

Exotics blotter: +$150,400

Open Positions: Dax double + L 10 Dec FDAX. Very light on upside hedge, but only one day to expiration. Will hedge a break of 4890 on cash index with 15-20 futures at a resting buy stop at 4894 basis Sep.
 
Quote from riskarb:

Sold the 10 Sep FDAX at 4863.00; +$10,500... holding 10 Dec FDAX from 4855.

Exotics blotter: +$150,400

Open Positions: Dax double + L 10 Dec FDAX. Very light on upside hedge, but only one day to expiration. Will hedge a break of 4890 on cash index with 15-20 futures at a resting buy stop at 4894 basis Sep.
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You're doing well!

Weren't you nervous for the ISM data? Looking at the timestamps you closed before the release.
Why 4894, or is that your kitchen secret?

Ursa..
 
Quote from MajorUrsa:

You're doing well!

Weren't you nervous for the ISM data? Looking at the timestamps you closed before the release.
Why 4894, or is that your kitchen secret?

Ursa..
More...

I am so sleep-deprived that I forgot about the ISM. Coincidentally offset the futures as the Dax looked as tired as I am.

4894 is where I can comfortably cover the exotic debit with 20 Sep long contracts into the barrier[30 w/existing Dec position].
 
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
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$150,900 pre Dax double

Offset the Dax double at 94,000EUR. Would've held into expiration, but wanted to sell my futures hedge. Sold the Dec at 4873 avg.

Exotics blotter: +$210,900 high water since inception of journal

No open positions
 
Quote from riskarb:

Exotics blotter: +$210,900 high water since inception of journal

No open positions
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Ver nice! Congrats.

Now get some sleep this weekend :p

Ursa..
 
Exotics blotter: +$218,900, high water since inception of journal. Edited typo

Thanks Ursa, will do. Will trade an SPX exotic at today's close, provided there is some clear system-signals.
 
SPX double barrier no touch -- 1198//1238
Premium: $54,400
Payout: $100,000 [includes prem paid]
Expires: Sep 9, 2005
Negative edge: $4,400
Neutrality: 1218 [not skew-adjusted]

Exotics blotter: +$218,900
 
Quote from riskarb:

SPX double barrier no touch -- 1198//1238
Premium: $54,400
Payout: $100,000 [includes prem paid]
Expires: Sep 9, 2005
Negative edge: $4,400
Neutrality: 1218 [not skew-adjusted]

Exotics blotter: +$218,900
More...

Long 5 ES at 1226.00 basis Sep futures.
 
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