You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Option replication and exotics journal
- Thread starter riskarb
- Start date
- Status
- Not open for further replies.
Quote from IV_Trader:
R-A , what is the MAX # of overlays you can do on this graph ? Can you create the "mix" screen , like INTC vs. INTC.IV vs. QQQQ.IV ?
Yeah, you can.
Just found the MP function, but they don't call it that. GIMH[GO] Market Histogram... seen it before, but didn't realize they plot VA. Not a great implementation, but it's there.
Had a great day today in ES and SPX exotics. Sold my ES hedge within 200 basis[cash SPX] of my upside risk barrier. Figured we were going to touch, so I went flat on my long ES exotic hedge at 127600. Never hit the upside barrier and earned the debit through ES hedge as well as the payout on the double exotic.
Quote from riskarb:
Had a great day today in ES and SPX exotics. Sold my ES hedge within 200 basis[cash SPX] of my upside risk barrier. Figured we were going to touch, so I went flat on my long ES exotic hedge at 127600. Never hit the upside barrier and earned the debit through ES hedge as well as the payout on the double exotic.
Sounds great.. what was net p&l for that play?
A bit over 500k with the hedge; the exotic was a 500k payout with a 240k gamma-debit. Solved for the risk to the upside barrier and it was blind luck that we didn't reach my cash-strike. I had the debit covered with the futures hedge so I went flat futures < a couple of handles from the HOD before we reversed-lower. I was glad to get it in before the end of the year. Taking the week off. This is CKP-fund monies, but I get a cut.
Quote from riskarb:
A bit over 500k with the hedge; the exotic was a 500k payout with a 240k gamma-debit. Solved for the risk to the upside barrier and it was blind luck that we didn't reach my cash-strike. I had the debit covered with the futures hedge so I went flat futures < a couple of handles from the HOD before we reversed-lower. I was glad to get it in before the end of the year. Taking the week off. This is CKP-fund monies, but I get a cut.
Nice work.. whats the net p&l look like since start of journal?
Quote from riskarb:
This JPY advance is pure chaos for trading the Nikkei. Was short the [facocked] Jan 15250//16000 outside strangle, but bought back the 16000 calls and doubled the puts/futures hedge converting to a slightly-weak synthetic short straddle at 15350 neutrality. Delta bleed rallies the neutrality over time, but slowly. Short a bunch of the Feb 15500 combos at 1100. The plan is to fly them off with each 100 in edge on the short combo. 10% converted to fly at each handle in gains.
It's a nice market for P-coast traders as the cash market closes at 10pm. Large contract and the best vol[14% atm] of any of the G8 index markets. ATM spreads are typically 10-wide[$40] and indicative of spreads across the strikes. Excellent for straddles, overwrites, ratios... I recommend you guys take a look at SGX Nikkei futures and options. Ticker "SGX NK" on IB.
It is good to see this thread still going strong. Are you trading Nikkei options with IB at all? I fool with the futures. Everything is nice and liquid and IB has been alot better than I expected.
- Status
- Not open for further replies.