Option replication and exotics journal

[riskarb]

Traded the SPX barrier at 1210 basis cash; this val is highly sensitive to gamma. Marks increasing rapidly.

 

[riskarb]

Quote from riskarb:

Paid $130.60 -- will post the offset.

Sold $131.50

 

[riskarb]

Quote from riskarb:

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.

Nice rally from the lows. Marked-val on the SPX double closed at $85,500. Remain long delta to 23 or so, adjusted for skew.

 

[riskarb]

Quote from riskarb:
EUR/USD double barrier no touch -- 1.1970//1.2340
Premium: $35,700
Payout: $100,000 [includes prem paid]
Expires: Sep 27, 2005

Full payout on gamma, but spot traded within 23pips of downside barrier.

Exotics blotter: +$409,300

Open positions: Large SPX double and DAX synthetic. Both expire tomorrow.

 

[riskarb]

Quote from riskarb:

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.

+$137,600 on expiration.

Exotics blotter: +$546,900

DAX is the open position... will book the loss on the DAX synthetic tomorrow.

 

[mahras2]

Very nice trading B. Healthy 10%+ return already.

 

[riskarb]

Thanks B... have to mark it down to the DAX futures loss, but I think we hold above $500k. When I started I was told to limit exposure to 200k; now they're wondering why I'm not trading larger debits. IOW, we love what you're doing, but do more.

 

[mahras2]

Haha thats how they are. Whine when you lose ("why are you losing?!", whine when you win "Why arent you winning more?!".

 

[riskarb]

Yeah, reminds me of a line from a movie, "LOVE IT; now make me HATE IT!"

 

[mahras2]

haha indeed. Anyways man keep it up. At the rate you are going 30% should be hit by you nicely.