Option replication and exotics journal

[riskarb]

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

Bah Bah Booey... ugh, that was far too close for comfort. What's made me sick all week was the immediate reversal lower after the previous nik double was hit at 13,700; a known barrier, defended and failed. Once I got neutral at 13,450 with this trade we proceeded to trade lower every day.

Trade within 73 points of the lower barrier, good enough. Hey Pat, thanks for keeping me busy chatting tonight. It paid not to watch the Nikkei chaos.

Exotics blotter: +$737,000

Sharpe paid dearly for the previous nikkei barrier hit -- 4.2

 

[riskarb]

Quote from riskarb:

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.

I am short 130 ES into the off-the-board Nikkei double and a portion allocated [30] to the bull SPX barrier struck at 1167. I had planned on covering 100, but will wait to see how the open plays-out. Will likely off 80, leaving 50 into the SPX exotic.

 

[riskarb]

Quote from riskarb:

I am short 130 ES into the off-the-board Nikkei double and a portion allocated [30] to the bull SPX barrier struck at 1167. I had planned on covering 100, but will wait to see how the open plays-out. Will likely off 80, leaving 50 into the SPX exotic.

Bought 80 at 1178.50-average within the last ten minutes. Want to get a few hours sleep w/o the overhang of a 130-lot hedge. Short 50 remaining into the 1167 SPX barrier which goes OTB Thursday.

Exotics blotter: +$761,000

 

[glassinc]

Quote from riskarb:

Bought 80 at 1178.50-average within the last ten minutes. Want to get a few hours sleep w/o the overhang of a 130-lot hedge. Short 50 remaining into the 1167 SPX barrier which goes OTB Thursday.

Exotics blotter: +$761,000

Hello,

I've found this quite interesting to read. Only till I was half through did I begin to get an understanding of what is being done here.

Long night Riskarb, may you have recovered in time to close out position or been stopped out. It was a most beautiful market for trading long and short today, especially the long side from the mid morning.

Congrats on the trading so far, I've no desire to handle this kind of capital, or trade in this manner. However it is a pleasure to see one roll up these types of numbers while managing many trades. This takes the definition of multi-tasking to another level.

Good Luck, Continued Success, and God Bless You & Yours!!

Kelly

 

[riskarb]

Quote from glassinc:

Hello,

I've found this quite interesting to read. Only till I was half through did I begin to get an understanding of what is being done here.

Long night Riskarb, may you have recovered in time to close out position or been stopped out. It was a most beautiful market for trading long and short today, especially the long side from the mid morning.

Congrats on the trading so far, I've no desire to handle this kind of capital, or trade in this manner. However it is a pleasure to see one roll up these types of numbers while managing many trades. This takes the definition of multi-tasking to another level.

Good Luck, Continued Success, and God Bless You & Yours!!

Kelly

Thanks for the kind words. I couldn't sleep after the Nikkei close due to the adrenaline, so I caught a nap with my 20mo son and missed the rally today. Currently close to b/e on the current SPX barrier due to gains on the cover of the 80-lot ES near the overnight lows last night. I think we'll be >800k tomorrow on the SPX close.

Looking forward to trading some DAX and SPX replication tomorrow -- not sure what the structure will be at this point.

 

[riskarb]

SPX no touch -- 1175.00
Premium: $51,500
Payout: $100,000 [includes prem paid]
Expires: Oct 26, 2005

DAX touch -- 4825.00
Premium: $62,800 USD
Payout: $120,000 USD [includes prem paid]
Expires: Oct 26, 2005

Short 15 ES from 119600// Long 7 DAX from 4907

Essentially long the DAX put and short the SPX put at a +250bp replication. Trading the futures spread into the barrier-risk

=

Weakly long[short] the DAX[SPX] synthetic straddles.

 

[ssternlight]

Quote from riskarb:

SPX no touch -- 1175.00
Premium: $51,500
Payout: $100,000 [includes prem paid]
Expires: Oct 26, 2005

DAX touch -- 4825.00
Premium: $62,800 USD
Payout: $120,000 USD [includes prem paid]
Expires: Oct 26, 2005

Short 15 ES from 119600// Long 7 DAX from 4907

Essentially long the DAX put and short the SPX put at a +250bp replication. Trading the futures spread into the barrier-risk

=

Weakly long[short] the DAX[SPX] synthetic straddles.

Riskarb,

Why 1175 on the no touch? It has been busted a couple of times but 1167 seems to be out of the short term firing line so far -- lower premium?

 

[riskarb]

Quote from ssternlight:

Riskarb,

Why 1175 on the no touch? It has been busted a couple of times but 1167 seems to be out of the short term firing line so far -- lower premium?

I went near as otm gamma made the position too expensive. I think we'll hit the dax touch tomorrow -- only 40 points from Dax, futures indicate a better fig.

I wasn't terribly concerned with the strike since I caught the Dax near the morning highs. Dax touch should hit well before SPX.

 

[ssternlight]

Quote from riskarb:

I went near as otm gamma made the position too expensive. I think we'll hit the dax touch tomorrow -- only 40 points from Dax, futures indicate a better fig.

I wasn't terribly concerned with the strike since I caught the Dax near the morning highs. Dax touch should hit well before SPX.

By my IB quotes you missed getting hit by a tick...all that matters.

 

[riskarb]

Yup, got hit... but the Dax should be a certainty. Just covered the 15 ES futures at 1182.00 to cover the SPX hedge. If Dax had been trading...