riskarb's trading journal

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Quote from optioncoach:

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.. :)
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To do any damage against the futures would've required >$100k in debit on the par-calls which are down by half today. The point of this bet was to securitize $50k in skew. Plus, it wasn't a symmetrical hedge; it was weak by 80 futures initially. The upside b/e was 1315 on SPX with the 200 lot futures short.

I was j/k on the "OC calls" comment.
 
OK, I was asking my question in general but with the actual numbers I understand the point you were making. Thanks!

Quote from riskarb:

To do any damage against the futures would've required >$100k in debit on the par-calls which are down by half today. The point of this bet was to securitize $50k in skew. Plus, it wasn't a symmetrical hedge; it was weak by 80 futures initially. The upside b/e was 1315 on SPX with the 200 lot futures short.

I was j/k on the "OC calls" comment.
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Quote from optioncoach:

OK, I was asking my question in general but with the actual numbers I understand the point you were making. Thanks!
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To add: It would've converted a large portion of the position to long synthetic puts. I don't like to hedge barriers with long atm puts. Crazy day. Lots of skydivers will be seen if esignal and IB suffer outages.
 
It's all good, call or no call :)

Bad luck on the barrier. Sounds like it was about scratch overall if you include the VBI position.

Might even make bank on the hedge if we keep going down from here.


Quote from riskarb:

To do any damage against the futures would've required >$100k in debit on the par-calls which are down by half today. The point of this bet was to securitize $50k in skew. Plus, it wasn't a symmetrical hedge; it was weak by 80 futures initially. The upside b/e was 1315 on SPX with the 200 lot futures short.

I was j/k on the "OC calls" comment.
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Yes which got me thinking about hedging the barrier with ES puts but I think the cross-margining makes the futures more attractrive then putting out the cash for the puts I assume...

Quote from riskarb:

To add: It would've converted a large portion of the position to long synthetic puts. I don't like to hedge barriers with long atm puts. Crazy day. Lots of skydivers will be seen if esignal and IB suffer outages.
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Paid 1278 on 300 ES.

ES futures: $247,500
SPX barrier: ($265,000)
VBI futures: NA
Comms: ($1500)

Net: ($19,000) w/comms.

Ugh. With the VBI I was nearly flat PnL, but didn't post the buys. Starting down $19k on closed PnL.

[journal blotter 1]

Edit: just reading Momo's post; you nailed it.
 
Quote from optioncoach:

Nice limited loss on a position that went against you strongly :D
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Shows that attempting to replicate gamma in a wild market is very tough. I screwed up a bit, but would've been ugly had I martingaled. Added insult to injury in selling that last 50 within 200bp of the cash barrier.
 
Point taken! Running the numbers, as you say your b/e was way up by 1315 so there was room to breathe.

What was hypothetical plan of attack if ES went north of 1315?

Quote from riskarb:

but would've been ugly had I martingaled.
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The good thing about the Es hedge and the barrier option is no need to ride it out. Once the barrier is hit, you take off the futures position and move on :)
 
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