Option replication and exotics journal

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Quote from Arb Under Par:

welcome to my world of hedging!

frustrating as hell, isn't it?

you've done great with them so far.

keep it goin'
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Yeah, it really is as I had a good system sell yesterday, but was already short a ton of delta. Good news is that I expect 300k out of the current positions. DAX may be at risk, however.
 
Sold 30 Dec ES at 1139.25 into the DAX double barrier. Henceforth I will notate hedge-points as the barriers are traded to avoid the constant hedge-updates.
 
Zero-vol on the AM Nikkei session. mark is increasing rapidly on the Nikkei double. A bit suprised we haven't traded below '800.
 
EUR/USD hybrid short backspread

EUR/USD double barrier no touch -- 1.2140//1.2460
Premium: $41,500
Payout: $100,000 [includes prem paid]
Expires: Sep 21, 2005
Negative edge: $3,200

Long 3mil of the EUR/USD Sep 21 1.2300 vanilla OTC straddle at 130pips, 8.9%vol, $39,000 debit



Vols have ramped due to Schroeder's opposition in Germany and the Fed next week. The pop in vols have discounted the 7d debit by >10%. Should have some decent marks in the position before the Fed meets.
 
Quote from riskarb:

Sold 30 Dec ES at 1139.25 into the DAX double barrier. Henceforth I will notate hedge-points as the barriers are traded to avoid the constant hedge-updates.
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Bought 30 at 39.50; flat ES futures -- remain short 20 Sep DAX from 4907

Exotics blotter: +$88,600
 
Quote from riskarb:

Bought 30 at 39.50; flat ES futures -- remain short 20 Sep DAX from 4907

Exotics blotter: +$88,600
More...

Offset DAX futures at 4916.00

I will not hedge the DAX into expiration. No hedges on remaining barrier to the downside. Potential remains for upside hedging in SPX, but unlikely. Expectation on remaining positions is 6 figures.

Exotics blotter: +$85,800
 
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