Option replication and exotics journal

[riskarb]

Quote from hufra0706:

Quote from riskarb:

I model each trade and am typically paying 10-12% in edge/ThVal on these exotics.


What do you mean, when you say, that you model each trade?

I run the parms through multiple pricing models and through more than one dealer.

 

[riskarb]

Quote from ssternlight:

Well you've certainly got next week's trades on...

Yeah, not especially hairy, however. Nikkei double, DAX long-gamma synthetic and SPX bull double. All for reasonable debit-risk.

 

[riskarb]

Quote from riskarb:

Long 27 DAX from 4870

Offset 27 at 5010. +$32,300

 

[riskarb]

Long 100 Dec ES at 1197.00 into SPX and Nikkei barriers. Above neutrality on SPX and Nikkei. Long the DAX touch at 4825, my stop loss on the ES futures.

 

[ssternlight]

RiskArb,

Any initial thoughts on the SPX weekly options that are going to start up this week?

 

[riskarb]

Quote from ssternlight:

RiskArb,

Any initial thoughts on the SPX weekly options that are going to start up this week?

It will be interesting to see how they open; I expect gammas to be fattened a bit due to the uncertainty of a new contract, but they're no more difficult to value than anything else.

I wish they were full-size contracts, but I am sure I'll be trading the convexity against the exotics. Don't know if I will trade them outright/hedge, although to hedge the exotics will require a ton of volume to get anything done due to the nominal contract value.

 

[riskarb]

Quote from riskarb:

Long 100 Dec ES at 1197.00 into SPX and Nikkei barriers. Above neutrality on SPX and Nikkei. Long the DAX touch at 4825, my stop loss on the ES futures.

Offset 50 at 1197.25 -- will update blotter after this week's trades are OTB.

 

[riskarb]

Quote from riskarb:

Long 100 Dec ES at 1197.00 into SPX and Nikkei barriers. Above neutrality on SPX and Nikkei. Long the DAX touch at 4825, my stop loss on the ES futures.

Long 50 more from 120300. Long 100 from 120000 avg.

 

[riskarb]

Quote from riskarb:

Nikkei double barrier no touch -- 12,600//13,600
Premium: 14,100,000Y
Payout: 25,000,000Y [includes prem paid]
Expires: Oct 26, 2005


Fell like a stone once we clipped 13,700 this week, but don't see a decisive break of 13,000. Neutral here at current Nikkei cash.

200 points from upper barrier, full payout of $94,000.

 

[riskarb]

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

($62,800) on touch miss. Will tally all positions at EOW.