Option replication and exotics journal

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Quote from riskarb:

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.


Well if Oanda opened up their platform for free and let some chart/system developers go wild without the 600 dollar charge a month. I think they would be growing alot faster. I like the fact that I can can put out a no touch for less than 12 hours! In FXCM---you got to go over 12 hours.

I went like 2.5 and 3 days on the expirations. The options priced out at about 90 percent of payout ---so it was almost like a one to one payoff with the close expirations. But it has been some of the easiest trades ---I have ever done. Two out of three are going to pay and if the one downside barrier gets hit it will only cut my profit by 1/5th (I risked less money on that one). I just put out no touches in markets I knew were not going anywhere over a few days. Not rocket science.

I really like close expirations. My edge is knowing were the market is going to be or NOT going to be over a few days time frame. Every once in while I catch a big trend ---but usually in pieces. Anything I hold more 2 weeks should get long term Capital Gains tax treatment. I can find Forex trades all day long that I know are NOT going anywhere!!!
:D
 
Quote from TGM:

I can find Forex trades all day long that I know are NOT going anywhere!!!
:D

Feel free to share this information via PM or email, anytime you like. ;)
 
DAX no touch -- 4760
Premium: 45,200 EUR
Payout: 100,000 EUR [includes prem paid]
Expires: Sep 28, 2005

Sold 20 FDAX at 4863.00 avg., into the strike.

8,000 EUR, spot = strike risk. Conditional order in place to offset futures with a touch of 4760 on DAX cash. Upside b/e at 4945 DAX cash.
 
Received a signal to go long the following basket:

KLAC/TXN/XLNX/INTC

at the open this morning. Basket closed at $130.57 yesterday. Trade PnL will not be reflected in blotter.
 
Quote from riskarb:

Received a signal to go long the following basket:

KLAC/TXN/XLNX/INTC

at the open this morning. Basket closed at $130.57 yesterday.


How do you weigh the basket by price, volatility and marketcap? Also what do you hedge against?
 
Quote from Trend Fader:

How do you weigh the basket by price, volatility and marketcap? Also what do you hedge against?

I really don't want to disclose the basket beyond the obvious, and that it's unweighted. Equal share qty:ticker. I would hedge with NQ, but this is a spec-trade. I will not be hedging this basket.
 
Quote from riskarb:

Received a signal to go long the following basket:

KLAC/TXN/XLNX/INTC

at the open this morning. Basket closed at $130.57 yesterday. Trade will not be reflected in blotter.

Paid $130.60 -- will post the offset.
 
Quote from riskarb:

DAX no touch -- 4760
Premium: 45,200 EUR
Payout: 100,000 EUR [includes prem paid]
Expires: Sep 28, 2005

Sold 20 FDAX at 4863.00 avg., into the strike.

8,000 EUR, spot = strike risk. Conditional order in place to offset futures with a touch of 4760 on DAX cash. Upside b/e at 4945 DAX cash.

Paid 83 on 5 DAX futures. Blotter at +$342,000.

Short 15 Dax futures into barrier
 
SPX Double barrier no touch -- 1198//1239
Premium: $62,400
Payout: $200,000 [includes prem paid]
Expires: Sep 28, 2005

Long many delta here into a perceived short term bottom.
 
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