Option replication and exotics journal

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Quote from riskarb:

Never say never... long 100 from 1232.00 average.
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Flat futures; sold 100 at 37.00. SPX getting very close to taking out the barrier at 1238.00. SPX last: 1236.36

Exotics blotter: +$243,400
 
Quote from riskarb:

Bought the Sep 280/320 outside strangle at $8.00 -- $2.70 risk on the fly from inception.

Vols are 27[28%] on the body[wings]. Have no intention of replicating the original straddle or adding any new positions in GOOG.
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Covered the Sep GOOG fly near the close. +7.50 per contract. Won't be reflected in blotter.
 
How ya doin RiskArb. Hope your boy is ok.

Who are trading exotics through? I am ignorant of them. However, they are starting to appeal to me for forex. Especlially, The 'No Touch' deals.


What are you using for pricing?
 
Quote from TGM:

How ya doin RiskArb. Hope your boy is ok.

Who are trading exotics through? I am ignorant of them. However, they are starting to appeal to me for forex. Especlially, The 'No Touch' deals.


What are you using for pricing?
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He's 19 months now, doing very well, thanks.

I trade these a variety of brokers; SocGen, BNP/Paribas, DB and UBS for fx. Oanda's offering the touch/no touches for the retail market.

I have someone writing the models in Leading Market Technologies/EXPO. I also use MBRM's exotics add-in for excel.
 
Quote from riskarb:

He's 19 months now, doing very well, thanks.

I trade these a variety of brokers; SocGen, BNP/Paribas, DB and UBS for fx. Oanda's offering the touch/no touches for the retail market.

I have someone writing the models in Leading Market Technologies/EXPO. I also use MBRM's exotics add-in for excel.
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You clear all those for personal accounts? Or are you trading for a fund?
 
Quote from mahras2:

Hey riskarb,

Been following your trades. As I trade some FX too I am looking into exotics as well. The MBRM add in you suggested is it this company? http://www.mbrm.com/

Thanks.
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Hey B, yeah, that's it. Check out the UNIVEXOT add-in, and possibly the UNIVDRV, but the latter isn't necessary.
 
Thanks. Gonna look into it. Pretty expensive for an options beginner like me (550) and especially one as cheap as I am (I think I have yet to spend a dime on specialized software, platforms and charts :D).

BTW great trading.
 
Quote from mahras2:

Thanks. Gonna look into it. Pretty expensive for an options beginner like me (550) and especially one as cheap as I am (I think I have yet to spend a dime on specialized software, platforms and charts :D).

BTW great trading.
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Thanks. Check out hoadley.net for single barrier pricing -- it's a free java applet.
 
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