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Option replication and exotics journal
- Thread starter riskarb
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Quote from riskarb:
Nikkei double barrier no touch -- 12,250//13,250
Premium: 30,240,000Y
Payout: 50,000,000Y [includes prem paid]
Expires: Sep 19, 2005
Negative edge: 3,700,000Y
Biggest since inception of journal. A bit of a Hamlet-esque revenge trade. Solid vols trading post-Koizumi victory. Expect some downside over the next few days on Nikkei cash due to general malaise expected in world index markets this week.
Bot 10 NKD 12,985... minimal hedge, but I don't envision 300 on a cash rally on expiration Monday.
Quote from riskarb:
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
Full payout received of $95,500
Exotics blotter: +$174,000
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
Will look to trading vanilla gamma into the barrier after some delta bleed.
Yup, good week. Received $49,200 yesterday and neglected to update journal.
Exotics blotter: +$223,200
Risk,
Good job. I am opening an account with FXCM to trade their Forex Exotic options. The limit is 10k ---but it will at least get my feet wet in Digitals etc. Have you seen FXCM's Exotics? If so what do you think of them? They seem to offer enough for me to start. You are trading Forex options through UBS? Correct?
www.forex-options.com
Good job. I am opening an account with FXCM to trade their Forex Exotic options. The limit is 10k ---but it will at least get my feet wet in Digitals etc. Have you seen FXCM's Exotics? If so what do you think of them? They seem to offer enough for me to start. You are trading Forex options through UBS? Correct?
www.forex-options.com
Quote from TGM:
Risk,
Good job. I am opening an account with FXCM to trade their Forex Exotic options. The limit is 10k ---but it will at least get my feet wet in Digitals etc. Have you seen FXCM's Exotics? If so what do you think of them? They seem to offer enough for me to start. You are trading Forex options through UBS? Correct?
www.forex-options.com
Nice, TGM. Feel free to post stuff here re: your experiences with FXCM. They've been, on avg., 10% above the debits I've been seeing with the French and Swiss. That's not terrible considering the barrier to entry is zero with FXCM. SocGen is tighter than UBS, so I tend to call SG first, but UBS is very solid; much better depth of talent than in the past.
You'll earn the -edge in a day with a 7d gamma-play. Don't get too caught up in model-val. I have used FXCM's markets to price relative value against the markets made by the wirehouse.
Quote from riskarb:
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
Out the $41,500 on the 1.2140 touch. +$15,000 recovered from the sale of the vanilla straddle at 1.80.
Exotics blotter: +196,700
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