Option replication and exotics journal

[riskarb]

Flat futures at the close of the day session -- 16070

 

[riskarb]

Laid off most of my remaining deltas here at 16,000 -- flat deltas at 16,180.

 

[riskarb]

Sold 30 of the Mar 15,250 puts at an average of 149. Sold 6 futures to get flat on that position, which nets me short only a 2 lot futures and the previous 30x100 position.

Flat deltas at 16,150 and short an uncomfortable dgamma position. I will be hedging this aggressively with futures.

 

[riskarb]

Nikkei position +$24k since Friday. Going long ES here at 126850 -- thinking we could see a 10-15 point pop today or tomorrow.

 

[momoneythansens]

Nice going on the Nikkei - how are you liking those penny increment options?

RE: ES - Definitely ripe for a sharp move in some direction!

Quote from riskarb:

Nikkei position +$24k since Friday. Going long ES here at 126850 -- thinking we could see a 10-15 point pop today or tomorrow.

 

[riskarb]

Thanks Mo. Yeah, the pennies are nice, but the autoquoter's don't want to trade that often. Very bullish on US index markets here.

 

[Optionpro007]

Risk,

Would you mind sharing your reasoning behind your bullish take on US indices?

Thanks!

Quote from riskarb:

Thanks Mo. Yeah, the pennies are nice, but the autoquoters don't want to trade that often. Very bullish on US index markets here.

 

[riskarb]

Discretionary; bull-reversal in Nikkei, oversold US markets, strong EUR markets. Concern over Bernanke unfounded.

 

[riskarb]

Quote from riskarb:

Going long ES here at 126850 -- thinking we could see a 10-15 point pop today or tomorrow.

Covered half at 127550.

 

[Prevail]

Good job.