riskarb's trading journal

frisbeeca · May 24, 2006

Quote from riskarb:

Correct, but basis cash, not June futures.

Yes, understood. I was looking at SPM6 futures just to get a feel for the open tomorrow and see how things might go for your barrier position.

riskarb · May 24, 2006

Quote from riskarb:

Can't stomach the overnight risk knowing the double barrier is virtually certain of being touched. If the market reverses higher I'll see a huge gain on the exotic and reversal ... provided we do not see 1249.00 basis cash.

Bought 400 June ES at an average of 1248.50. This will allow for a b/e on the exotic and hedges. The position has no risk -- remains long gamma and vegas.

Sold 400 Jun ES 1254.50 average: +$118,000

Double barrier and R/R remain.

riskarb · May 24, 2006

Quote from riskarb:

Paid 9.00 on 200 June SPX 1250cp1290c r/r; damn, reversal wasn't expected to reach this magnitude.

Sold all 210 at 11.00 -- ES 1258.00 [10.80 x 12.60 market]

Will tally today after the close.

riskarb · May 24, 2006

Short 120 June ES at 1261.00 -- new hedge against barrier.

momoneythansens · May 24, 2006

Sounds like a good name for a movie: "Back to the futures"

Quote from riskarb:

Short 120 June ES at 1261.00 -- new hedge against barrier.

riskarb · May 24, 2006

Quote from riskarb:

Short 120 June ES at 1261.00 -- new hedge against barrier.

Out at 66... ($30,600), flat all hedges -- low is in for the week.

wareco · May 24, 2006

Quote from momoneythansens:

Sounds like a good name for a movie: "Back to the futures"

Hmm, I'm thinking more like "Get Shorty"

We now return you to your regular programing.

riskarb · May 24, 2006

Vanilla SPX June R/R to open:

Paid $5.00 on 80 bear 1240p // 1280c risk reversals -- single hedge to the May 30th double barrier.

Sold the volbox at -400bp

riskarb · May 24, 2006

Quote from riskarb:

Vanilla SPX June R/R to open:

Paid $5.00 on 80 bear 1240p // 1280c risk reversals -- single hedge to the May 30th double barrier.

Sold the volbox at -400bp

Paid $6.00 for an additional 20 [3.80 x 6.20 market]

riskarb · May 24, 2006

Quote from riskarb:

Paid $6.00 for an additional 20 [3.80 x 6.20 market]

I am keeping the R/R for the G/V, bought 50 ES June futures at 1261.00