Option replication and exotics journal

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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.
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Have a $37,000 USD marked loss on the DAX/no touch and futures. Keeping the futures into a new 7d no touch struck at 4880 + short 20 Dec FDAX:

DAX spot no touch -- 4880
Premium: 71,000 EUR
Payout: 100,000 EUR [includes prem paid]
Expires: Oct 5, 2005

Short 20 Dec FDAX from 5033[marked]

Risk to strike = $10,000 USD on current blotter print, based upon 20-lot futures priced at 5033.

Exotics blotter: +$509,900
 
Hi Risk, do you find it easier to model on 7 day time frames or what is the rational here?

CBOE just introduced weekly options and I wonder if there is a correlation to your thoughts on an opportunity to use them.

Thanks, enjoying the ride.
 
Quote from Prevail:

Hi Risk, do you find it easier to model on 7 day time frames or what is the rational here?

CBOE just introduced weekly options and I wonder if there is a correlation to your thoughts on an opportunity to use them.

Thanks, enjoying the ride.
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The vol-cone favors >duration, but I choose weekly for its nearly pure gamma. The debit is a function of the vol, but the convexity is everything when trading short durations. They're frenetic, but very little sensitivity to vol -- one less variable. The weekly cboe rollout is moot as I can access a tight OTC market for vanillas and replicate gamma and volatility with identical conventions; i.e., trading a Tuesday ... Monday exotic in lieu of a Friday to Friday vanilla expiration. Thanks
 
Quote from riskarb:

Have a $37,000 USD marked loss on the DAX/no touch and futures. Keeping the futures into a new 7d no touch struck at 4880 + short 20 Dec FDAX:

DAX spot no touch -- 4880
Premium: 71,000 EUR
Payout: 100,000 EUR [includes prem paid]
Expires: Oct 5, 2005

Short 20 Dec FDAX from 5033[marked]

Risk to strike = $10,000 USD on current blotter print, based upon 20-lot futures priced at 5033.

Exotics blotter: +$509,900
More...

Covered 20 at 5033 avg -- flat futures PnL. No touch expired.

Exotics blotter: +$544,000
 
Nikkei double barrier no touch -- 12,700//13,700
Premium: 29,400,000Y
Payout: 50,000,000Y [includes prem paid]
Expires: Oct 18, 2005

Nikkei refuses to capitulate; faltering US markets seen as domestic-issue, or so I am told. ;) This is the largest debit to date, but vols/gamma are well bid.

Nik shows poor corr with US/EUR markets -- will not hedge nor replicate in cheaper gamma, but I will be trading a SPX/DAX replication tomorrow near the DAX close.
 
Buying the INTC-KLAC-TXN-XLNX as a basket-trade tomorrow at the open < $121.00 x 10k, based upon a touch of the weekly trendline. Not looking for much more than 2 handles... but expect a fill of the gap to 126.75 within a week.
 

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Quote from riskarb:

Buying the INTC-KLAC-TXN-XLNX as a basket-trade tomorrow at the open < $121.00 x 10k, based upon a touch of the weekly trendline. Not looking for much more than 2 handles... but expect a fill of the gap to 126.75 within a week.
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Curious as to why you trade this basket in particular....

Why not trade the SMH?
 
Quote from Trend Fader:

Curious as to why you trade this basket in particular....

Why not trade the SMH?
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It's a basket I've found that is robust for my limited TA work. Basket beta is > SMH beta.
 
Quote from Trend Fader:

What type of TA work do u look for?
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Inside/outside days, key reversals, triple-bar patterns, among other setups. No lagging indicators. I only work with daily and weekly data.
 
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