Option replication and exotics journal

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Quote from riskarb:

Took the hit on this -- covered at 6,800,000. ($75,000). Will tally after SPX and DAX go OTB. I am going to steer-clear of the nikkei for the near-term.
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Riskarb,

Do you keep a running PnL on each market you trade as well as the particular strategies or is it just one big blotter...
 
Quote from riskarb:

SPX no touch -- 1184.00 cash
Premium: $248,600
Payout: $400,000 [includes prem paid]
Expires: Nov 8, 2005

Short 200 ES from 120825 average -- short synthetic.
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Covered 50 shorts at 121175; short 150 remain.
 
Offset another 25 at 121800. May be a decent position, but marked-loss is > 30k today with the gain from deltas in the exotic.

Short 75 ES into the SPX barriers.
 
enjoying the journal, riskarb. keep it up !


however, i have a question--- SPX no touch option? is this a spread betting firms product, or your own formula??

surfer :cool:
 
Surf -- it's a common exotic option traded interbank OTC... they possess truncated-payoffs, loosely-termed "binary" due to conditions at the barrier strikes. A trader going long the touch[no touch] wants the underlying to touch[avoid] the barrier strike.

There is an absence of greek-risk at the barrier-event, so that it becomes possible to short gamma/vol with limited risk, but with the attributes of a short [synthetic] straddle or natural strangle. The value of the position trades inverse to vol; the > the vol the cheaper the debit in play.
 
Quote from ssternlight:

Riskarb,

Do you keep a running PnL on each market you trade as well as the particular strategies or is it just one big blotter...
More...

I keep a running PnL dissection among classes and methodology. It's not necessarily worthwile as it stands to reason that replication strategies will have a poor r/r but lower var, while synthetic straddles and double barriers the opposite conditions.

I place greater importance on index traded/methodology.
 
Quote from riskarb:

Surf -- it's a common exotic option traded interbank OTC... they possess truncated-payoffs, loosely-termed "binary" due to conditions at the barrier strikes. A trader going long the touch[no touch] wants the underlying to touch[avoid] the barrier strike.

There is an absence of greek-risk at the barrier-event, so that it becomes possible to short gamma/vol with limited risk, but with the attributes of a short [synthetic] straddle or natural strangle. The value of the position trades inverse to vol; the > the vol the cheaper the debit in play.
More...


thanks, risk. great info!

surfer
 
Exotics Date/PnL:

10/28 SPX 1170 +$50,400 (assuming 1170 is not hit today...)
10/28 DAX 4750 +$62,800
10/30 NIK 2x ($75,000)

Futures hedging related to above: ($49,000)

Net: ($10,800)

Previous exotic blotter tally: +$960,600

Exotic blotter tally: +$949,800

Open positions: SPX 118400 no touch + short 75 futures from 120825, marked loss at 122375 = ($58,000). 125 contract futures hedge loss, booked: ($35,700)
 
Quote from riskarb:

Exotics Date/PnL:

10/28 SPX 1170 +$50,400 (assuming 1170 is not hit today...)
10/28 DAX 4750 +$62,800
10/30 NIK 2x ($75,000)

Futures hedging related to above: ($49,000)

Net: ($10,800)

Previous exotic blotter tally: +$960,600

Exotic blotter tally: +$949,800

Open positions: SPX 118400 no touch + short 75 futures from 120825, marked loss at 122375 = ($58,000). 125 contract futures hedge loss, booked: ($35,700)
More...

Well managed considering we went parabolic this last week or so. Any time I can get out flat when I am leaning the wrong way is a victory to me.
 
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