Option replication and exotics journal

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Thanks TGM, good to know. SPX barrier looks to be out of the woods. A bit concerned about the DAX barrier, but the Nikkei delta should help.
 
Quote from riskarb:

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
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Sold 25 Sep DAX at 4913.00 average

[Edit: had sold 40, covered 15 at flat]
 
Quote from riskarb:

Sold 25 Sep DAX at 4913.00 average

[Edit: had sold 40, covered 15 at flat]
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Flat DAX, covered at 4920.00

Exotics blotter: +97,200

Open positions:

DAX, SPX, Nikkei double barriers, no hedge
 
Quote from riskarb:

Flat DAX, covered at 4920.00

Exotics blotter: +97,200

Open positions:

DAX, SPX, Nikkei double barriers, no hedge
More...
risk, what is 97k in % from total capital?
thanks
 
Quote from IV_Trader:

risk, what is 97k in % from total capital?
thanks
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+1.9% of $5mm. Had been trading 5% of available book. Up to 10% with current positions. Remaining 4.5mm is in fx +carry.
 
Quote from riskarb:

Short another 15 from 4898.00; short 40 from an average of 4907.00
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Offset 20 at 4906.00 Done for the day on DAX hedge. Short 20 from 4907.50 average.
 
Quote from riskarb:

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

Long 20 Dec ES at 1242.50
 
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