Option replication and exotics journal

riskarb · Sep 21, 2005

Quote from riskarb:

Thanks Prevail. I'm sure you'll be trading this product soon.

Bought 10 Dec ES 1235.50; short 40 remain

Blotter: +$375,750

Sold 20 at 1225.50 avg. Short 60 total from 1232.00 avg.

riskarb · Sep 21, 2005

Quote from riskarb:

Bought 1mil EUR at 1.2220

Long 2mil total from 1.2228 avg. typo edit

riskarb · Sep 21, 2005

SPX barrier hit; out of ES hedge at 1221.50 on the conditional buy to cover 60 futs.

riskarb · Sep 21, 2005

Quote from riskarb:

SPX no touch -- 1216
Premium: $56,200
Payout: $100,000 [includes prem paid]
Expires: Sep 27, 2005

Short 50 Dec ES from 1239.00 -- SPX 1233 basis cash

Exotics blotter: +$351,000 reflects barrier loss in SPX at 1216

mahras2 · Sep 21, 2005

Looking nice man. Thats around a 7% return on your sub account right?

riskarb · Sep 21, 2005

Quote from mahras2:

Looking nice man. Thats around a 7% return on your sub account right?

Thanks B; yeah, just broke 7% with a Sharpe of 5.88

mahras2 · Sep 21, 2005

Talk about some serious risk return ratios. 2+ sharpe is good nuff but 5 haha. Keep it up bud.

riskarb · Sep 21, 2005

Quote from mahras2:

Talk about some serious risk return ratios. 2+ sharpe is good nuff but 5 haha. Keep it up bud.

It's a function of the limited exposure, but I'll take it. Sharpe based on notional portfolio of $5mil.

TGM · Sep 21, 2005

Quote from riskarb:

Thanks B; yeah, just broke 7% with a Sharpe of 5.88.

Those are sick numbers bro. Just sick. Now if you can do that with say a few hundred mill or better yet a billion----"riskarb" will become a living legend!

Good job.

Oh, by the way, I have 3 no touches on in the Aud/Usd and the Aud/Jpy. They expire at 10 am tomorrow. From the way it looks right now. I should hit all three unless the Aussie does some wild @ss move tonight. My barriers on the Aussie are 7750 and 7650 (no touch---- i legged in by buying the upside and then the downside ---so it is two independent option positions). The Aud/Jpy is a no touch as well.

I tried to do a double barrier no touch. I would have paid less premium BUT they would not do the strikes I wanted that close in time. FXCM seems ok---but the web app ---is kinda screwy ---it drops connections. They have a great new Forex platform---it seems stable. I told them they need to add the options stuff directly in the platform. I guess they are working on it.

riskarb · Sep 21, 2005

Very cool; glad to hear you've taken the plunge. I think we discussed running the spot/no touch; you may want to look into those tickers we talked about. I am sure they'll be quick to implement the exotics into the FXCM platform. Feet to the fire now that Oanda has received some serious capital.