Option replication and exotics journal

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Risk,

On the excel plugins do you just put in all your criteria by hand? Or are running it on some DDE link?

Also, If you know of anyone plain talking exotic books/websites. Please post. I want to do some reading. The 'no touch' and 'one touch' I understand (I think :cool: ) but the digitals have me confused.

Cheers and I look forward to keeping up with what you are doing.

Are you using Reuters 3000?
 
Quote from TGM:

Risk,

On the excel plugins do you just put in all your criteria by hand? Or are running it on some DDE link?

Also, If you know of anyone plain talking exotic books/websites. Please post. I want to do some reading. The 'no touch' and 'one touch' I understand (I think :cool: ) but the digitals have me confused.

Cheers and I look forward to keeping up with what you are doing.

Are you using Reuters 3000?
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Yeah, the analytics are not using a feed, it's all manual input. Working on an ATS which will automate the hedging.

Taleb's Dynamic Hedging is what you're looking for, with a few exceptions. He offers a decent primer for exotics. Then go to Wilmott and check out Jarrow's "Over the Rainbow" and Strickland's "Exotic Options" in the bookshop. Both should be available on Amazon.

I am using a 3000XTRA. I like it for fx, but miss the bloomberg.
 
Quote from riskarb:

Yeah, the analytics are not using a feed, it's all manual input. Working on an ATS which will automate the hedging.

Taleb's Dynamic Hedging is what you're looking for, with a few exceptions. He offers a decent primer for exotics. Then go to Wilmott and check out Jarrow's "Over the Rainbow" and Strickland's "Exotic Options" in the bookshop. Both should be available on Amazon.

I am using a 3000XTRA. I like it for fx, but miss the bloomberg.
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I have not had a subscription for 3000xtra since I left Chicago. I heard they have Metastock in 3000. Are you using it via direct line or are do you have the newer internet deal?
 
Quote from TGM:

I have not had a subscription for 3000xtra since I left Chicago. I heard they have Metastock in 3000. Are you using it via direct line or are do you have the newer internet deal?
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I am using the net-version. My Bro has an office in San Fran that has a direct line, but I rarely get there.
 
Quote from riskarb:

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
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Long 40 Dec ES from 1238.75 average. SPX barrier goes OTB tomorrow at the close.
 
I am long Stock Indexes as well. I noticed on the blog you traded the ER2 options. You have any execution problems with those? I am going to pull up IB's optiontrader today and take a look at those.
 
Quote from TGM:

I am long Stock Indexes as well. I noticed on the blog you traded the ER2 options. You have any execution problems with those? I am going to pull up IB's optiontrader today and take a look at those.
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Fills are a little slower than ES, but quicker than NQ. Generally, the market in FOPs on globex has greatly improved/time.

I sold my 100-lot ES hedge into a diminishing return scenario. I was within two points of hitting the barrier at 1238. This retracement has allowed me to replicate a portion of that hedge into the barrier at 1238.

I am taking into account my long-delta position in DAX when hedging my SPX barrier.
 
Quote from riskarb:

Long 40 Dec ES from 1238.75 average. SPX barrier goes OTB tomorrow at the close.
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Offset the 40-lot at 1238.25 -- the book is long delta in Dax, was uncomfotably-long with this 40lot.

Exotics blotter: +$242,300
 
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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Offset at $68,200; + $13,800

Unwilling to risk the debit into the gamma pos.

Exotics blotter: +$256,100

Open position: Dax hybrid
 
SPX double barrier no touch -- 1200//1245
Premium: $50,200
Payout: $100,000 [includes prem paid]
Expires: Sep 15, 2005
Negative edge: $4,000

Will look to trading vanilla gamma into the barrier after some delta bleed.
 
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