Option replication and exotics journal

Status
Not open for further replies.
Quote from riskarb:

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

F*CK!!!!! barrier was hit as Nikkei peaked at 13,704. Ugh...

Exotics blotter +277,000
 
Nikkei double barrier no touch -- 13,000//13,900
Premium: 46,620,000Y
Payout: 100,000,000Y [includes prem paid]
Expires: Oct 19, 2005

Betting the ranch.
 
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.
More...

Paid $120.95 for 10k
 
Quote from riskarb:

Nikkei double barrier no touch -- 13,000//13,900
Premium: 46,620,000Y
Payout: 100,000,000Y [includes prem paid]
Expires: Oct 19, 2005

Betting the ranch.
More...

Slow and steady wins the race usually... don't let the volatility throw you off your sizing.
 
Yeah, that was tongue in cheek. A hit will take the account underwater, but I don't see the Nikkei breaking support at 13,200 this week. I am mildly bullish on all index markets.

I will take large bets on occasion, but the majority of debit-risk will remain in the $50-250k range.
 
SPX no touch -- 1167.00
Premium: $48,600
Payout: $100,000 [includes prem paid]
Expires: Oct 20, 2005


Short 30 Dec ES from 1187.50. Risk to strike hedge requires 50-lot, but valuing position a few days forward. I don't see imminent risk of trading to 67. Short weak-synthetic straddle/overwrite.

Missed trading DAX as replication-gamma. Will do so on Monday's session and cover futures.
 
Quote from riskarb:

SPX no touch -- 1167.00
Premium: $48,600
Payout: $100,000 [includes prem paid]
Expires: Oct 20, 2005


Short 30 Dec ES from 1187.50. Risk to strike hedge requires 50-lot, but valuing position a few days forward. I don't see imminent risk of trading to 67. Short weak-synthetic straddle/overwrite.

Missed trading DAX as replication-gamma. Will do so on Monday's session and cover futures.
More...

I like that trade. Unless we blow up this afternoon or the Iraqi elections go horribly wrong, expiry and recent support should help to keep things in line next week.
 
Can't get any size done in CME Nikkei futures, so selling spoos against the Nikkei play. Short 100 spoos from 118450 average -- will close on expiration of Nikkei tonight.
 
Status
Not open for further replies.
Back
Top