Option replication and exotics journal

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Quote from riskarb:

Long 25 ES from 1228.00 average basis Sep
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Long 10 more from 1230.75; average of 1228.75 on 35. Will offset hedge on Friday and trade SPX vanilla straddles into the binary.

Edit: Will be trading vanilla gamma into a new double barrier in the SPX which will coincide with Sep SPX vanilla expiration.
 
Quote from riskarb:

Long 10 more from 1230.75; average of 1228.75 on 35. Will offset hedge on Friday and trade SPX vanilla straddles into the binary.

Edit: Will be trading vanilla gamma into a new double barrier in the SPX which will coincide with Sep SPX vanilla expiration.
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Bought another 5 to bring the hedge to 40 contracts from an average of 1229.00 basis Sep. Resting stop to buy 20 more at 1235.00 on Sep, which will bring the average price to 1231.00 on the hedge.
 
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
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Hey riskarb,

A quick question on this one.

The payout -- win or lose -- is $100K? So, if it touches you are out an additional $55,600 or $100K?
 
Quote from ssternlight:

Hey riskarb,

A quick question on this one.

The payout -- win or lose -- is $100K? So, if it touches you are out an additional $55,600 or $100K?
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I would be out the premium paid of $54,400. If neither barrier is hit I receive a payout of $100,000 inclusive of the debit paid, or a gain of $45,600 less hedge loss[or + hedge gain].
 
Double Barrier + long vanilla straddle = hybrid short backspread

DAX double barrier no touch -- 4850//5150
Premium: 122,000 EUR
Payout: 200,000 EUR [includes prem paid]
Expires: Sep 16, 2005
Negative edge: 9,600 EUR

Long 200 Dax Sep 5000 vanilla straddles at 89.00
Prem Paid: 89, 89,000 EUR on 200
Expires: Sep 16, 2005
Vol: 13%

Hybrid loses no more than 61,000 EUR at the barrier.
 
Regarding the above hybrid: I traded exchange gamma, but the bank will make a competitive market on OTC vanillas. I will likely choose to trade "one stop" OTC on the hybrid going forward.
 
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