riskarb's trading journal

El OchoCinco · May 13, 2006

OH oh... there goes the neighborhood!

:eek:

mahras2 · May 13, 2006

I will be paying attention as always. I am down to look at some options positions (timeflys specifically). Directional bets are also good.

frisbeeca · May 14, 2006

Look forward to your sharing... very cool.

I did your PF (tm) on the SOX index in a paper trade and man, did it work out.

frisbeeca

El OchoCinco · May 14, 2006

Your first trade should be a PitchFork so we can see what it is

iprph90 · May 14, 2006

when does the fund close?

riskarb · May 14, 2006

Thanks guys. I'll be trading exotic and vanilla positions tomorrow near the US close. Maybe a DAX position earlier in the day.

A pitchfork is simply a synthetic 1x3 ratio [spot x options]. I trade the synthetic in options w/o a tradeable underlying; sox, hgx, btk, etc...

http://www.elitetrader.com/vb/showthread.php?s=&postid=1055844&highlight=pf+dissection#post1055844

ElectricSavant · May 14, 2006

I'm here riskarb Thanks...looking forward to this Journal.

Aardvark · May 15, 2006

I'll be lurking

This should be a very good week for trading.

skanan · May 15, 2006

Thanks for education and I might have to ask for more explanations if you don't mind.

riskarb · May 15, 2006

SPX cash single barrier, no touch -- 1277.00
Premium: $265,000
Payout: $500,000 [includes prem paid]
Expires: May 29, 2006
Negative edge: a lot
Strike/barrier volatility: 15%
Symmetrical hedge: -300 June ES futures
Initial hedge: -220 June ES futures from 1297.50
Weak downside^2 [g/d] short exotic straddle
Date/time: 3:45 EDT

Looking for a bit of upside to 1305.00 on ES over the next two sessions and a retrace to 1285.00. Short 220 against the barrier.

SPX gamma trade, exotic, no touch, synthetic straddle