riskarb's trading journal

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Quote from kalashnicac:

Hi risk,

Glad to see the exotic journal is back, I missed it. :)

I wanted to react to what you were saying about barriers being defended.

I trade currencies (FX), mainly swing trading but I sometimes make a few intraday trades. One thing I noticed was that there were barriers being defended all over the place (my broker gives me info about them). Apparently, an increasing number of options on FX are exotic.

So, based on that kind of info (or the rumour), it really becomes easy to anticipate these intraday swings, that generally take out the barriers-I've seen it happen a number of times. A good strategy would be to place a no touch just beyond the barrier being defended, because they are often hit, hedge strongly into them and offload the hedge as the barrier is hit. If you are lucky your own option will not be hit, so that you make money on your hedge and your no touch. Haven't tried this, just an idea based on observation.

In your former exotic journal you did a few FX trades with exotics; it seems to me that that is the kind of market you're looking for if you want to cash in on barrier defending.

FX is the largest exotic market which comes as no suprise. The no touch barrier defense has the advantage of potential gaps through the barrier which offer potential hedge gains if traded strong. Also, a strong hedge to a no touch can be offset during the barrier defense in hopes of a reversion. I mentioned the DB-barrier defense in an earlier post on this thread.
 
Quote from riskarb:

Vanilla index overwrite:

RUT/ER2

Sold 100 RUT June 720p at 10.60 at 21% vols
Sold 30 June ER2 futures at 739.50

Position delta: -500
Neutral delta: RUT 736.00


Bought VBI futures switches. June06 and into 07 as well.

Flat $ on the combined -dgamma RUT position and VBI hedge. RUT position up a bit on gamma, but odd that vols did rise a bit. P/C ratio must have increased today. VBI was a loser.
 
Quote from riskarb:

CL on NYMEX, but trading NatGas is like getting mugged.

Ever trade both, as a spread?

Historically, when natural gas is trading for less than 1/10 crude, it is considered cheap. Not for a trade, but for long term.

Trading natty by itself is simply asking for it.
 
I've witnessed $100,000 debits rally to $400,000 in a single day on a 5-handle move in SPX away from the short barrier.

[/B][/QUOTE]


what does it means ? The new, similar bet will cost 4 times more or you just using the theoretical value ?
 
Quote from riskarb:

Vanilla index overwrite:

RUT/ER2

Sold 100 RUT June 720p at 10.60 at 21% vols
Sold 30 June ER2 futures at 739.50

Position delta: -500
Neutral delta: RUT 736.00


Bought VBI futures switches. June06 and into 07 as well.

Sold 10 ER2 at 731.00 average
 
Quote from IV_Trader:

I've witnessed $100,000 debits rally to $400,000 in a single day on a 5-handle move in SPX away from the short barrier.



what does it means ? The new, similar bet will cost 4 times more or you just using the theoretical value ? [/B][/QUOTE]

Take your pick.
 
Quote from riskarb:

Sold another 30 futures at 1294.25; short 250 from 1297.00 average.

Sold another 50 at 82.00; average of 1294.50 on 300. The additional 30 are to cover gammas in RUT position. Not comfortable with this barrier.

Bought the VBI futures to close. Nice move, but I neglected to post the buy-prints so I won't tally the results on VBI.
 
Quote from optioncoach:

I was thinking of a situation where you were short at average around 1297 and ES was at 1290 or so, buying the ES calls so that a large move upward is no longer a risk. What is LR in risk speak? :D

Thanking my personal God I didn't buy the "OC calls" =)

LR = limited risk
 
I do not see how the calls would have hurt your position really. A small cost for the calls which would have looked good if CPI was tame and we were up 15 points on the ES. With such a huge short position I was curious about not having the short move against you wiping out the exotic gains.. :)


Quote from riskarb:

Thanking my personal God I didn't buy the "OC calls" =)

LR = limited risk
 
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