Option replication and exotics journal

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Quote from Prevail:

Looks like the cash high was broken but futures, contract adjusted, held.
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On Nikkei? The cash hasn't broken 16,500 since I traded the double barrier.
 
Quote from riskarb:

Yes, but you can't trade an atm touch or tunnel [double].
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I can't get around this. Although I am more familiar with up/down and deficits I can't see how that could apply to touch/tunnels: the closer to the barrier(no touch) the more otm the option, and at a point in time it must be atm; are u saying u see the quote but u are not allowed to enter the trade?
Can u elaborate further?
 
The closer to the barrier the more otm? huh? You cannot trade a no touch that is atm, by definition. Let's see... you trade a no touch on the SPX with a barrier of 1270 with the SPX trading at 1270. Obviously it's not possible. If I need to explain why, then were going nowhere fast.
 
The fund sub-account is trading North of $5mil and there was some fat-gammas associated with this trade. Granted, the Nikkei is on crack right now, but on occasion you've got to be a pig. I think we'll see 16,750 based upon stat- vols, but I feel we'll see some retracement coming. I will be buying 60 lot futures at each new handle.
 
Quote from riskarb:

The closer to the barrier the more otm? huh? You cannot trade a no touch that is atm, by definition. Let's see... you trade a no touch on the SPX with a barrier of 1270 with the SPX trading at 1270. Obviously it's not possible. If I need to explain why, then were going nowhere fast. [/
I got things pretty much messed up.
I meant near the money not at the money.
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Hope you've got it pegged. That would do serious damage to last year's P&L...much less this year's. I assume you are targeting @ 60%+ hedged into the barrier as usual? I don't follow the Japanese markets so I have no idea what the ratios are.
 
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