riskarb's trading journal

momoneythansens · May 19, 2006

Some interesting shortcuts on your desktop

Quote from riskarb:

Griffin is very angry with me for carrying these greeks... he's firing up the steamroller.

Dr. Zhivodka · May 19, 2006

Exactly....someone just like GWB sitting in the back row of a Diffy Q class somewhere designed this unwieldy beast.

Nice trade BTW

Quote from riskarb:

Not so with this moronic product. I am not buying VBIs tomorrow. What douchebag wrote this model? GWB?

riskarb · May 19, 2006

Thanks DrZ

We're going higher here [1264.75 ES] Buying a R/R here, back with fill.

Cache Landing · May 19, 2006

Risk,

When opening a time fly do you generally prefer to put the straddle on first and wait for the right timing on the strangle?

riskarb · May 19, 2006

Long delta risk-reversal:

Short 50 SPX Jun 1250p
Long 50 SPX Jun 1280c

SPX:1261
ES: 1264

50 x ($1.70) to the sell

Edit: The intent is "sell" the position [market] at a debit on a rally. The position is long the market at a $-credit.

Crucis · May 19, 2006

WOUld someone explain the term "r/r" has used by Arb?

Cache Landing · May 19, 2006

Quote from Crucis:

WOUld someone explain the term "r/r" has used by Arb?

As noted above R/R= risk reversal

riskarb · May 19, 2006

Quote from Cache Landing:

Risk,

When opening a time fly do you generally prefer to put the straddle on first and wait for the right timing on the strangle?

Yes, as any directional or vol forecast is based upon daily-bar analysis -- I don't want to hold the wings too long w/o converting. I will buy the deferred wings as the opener if I am predicting a rise in vol, or a lower index print.

El OchoCinco · May 19, 2006

What is the reversal part of the trade if you do not mind me asking. It looks like a long call financed by the sale of a naked put. Is there an expected follow up move or adjustment?

Dr. Zhivodka · May 19, 2006

I think so too....I just took in some ES here too. Going light right now though. It may be a Monday event. I'm betting it's within the two sessions.

I'd love to see a knarly gap Mon morning. That would be a gift.

Quote from riskarb:

Thanks DrZ

We're going higher here [1264.75 ES] Buying a R/R here, back with fill.