riskarb's trading journal

knocks420 · May 19, 2006

"Yes, as any directional or vol forecast is based upon daily-bar analysis"

Great trade! Just curious, did you expect a bounce off the 200 MA?

riskarb · May 19, 2006

Quote from knocks420:

"Yes, as any directional or vol forecast is based upon daily-bar analysis"

Great trade! Just curious, did you expect a bounce off the 200 MA?

Thanks. No, I don't follow the MAs or traditional S/R.

riskarb · May 19, 2006

SPX 10d Double No Touch Barrier:

SPX cash double no touch: 1249 // 1294
Premium: $272,000
Payout: $500,000 [includes prem paid]
Expires: May 30, 2006
Negative edge: a lot
Strike/barrier volatility: blended
Symmetrical hedge: NA
Initial hedge: NA

Short exotic binary strangle -- no hedge at this time. May hybridize with vanilla long straddle. I trade one every weekend if I am flat-position in the index exotics. I have 100 lot ES GTC limit hedges in place. I will post an update when filled on hedges. I will defer to vanilla gamma with time.

El OchoCinco · May 19, 2006

To English-ize it, you saying that you would prefer to buy the wings now and then add the body if you expect IV to increase a bit?

Quote from riskarb:

No, long wings of a time fly if buying the vol to open the position -- selling the body at a later date. I normally sell the body as the initial trans.

riskarb · May 19, 2006

Quote from optioncoach:

To English-ize it, you saying that you would prefer to buy the wings now and then add the body if you expect IV to increase a bit?

yes

Cache Landing · May 19, 2006

Quote from optioncoach:

To English-ize it, you saying that you would prefer to buy the wings now and then add the body if you expect IV to increase a bit?

Or a "negative index print" as this should correlate with an IV increase?

I think you mentioned this on the combo to fly conversion thread, but do you have a preference on the length of time you allow before converting?

IV_Trader · May 19, 2006

Quote from riskarb:

SPX 10d Double No Touch Barrier:

SPX cash double no touch: 1249 // 1294
Premium: $272,000
Payout: $500,000 [includes prem paid]
Expires: May 30, 2006
Negative edge: a lot
Strike/barrier volatility: blended
Symmetrical hedge: NA
Initial hedge: NA

Short exotic binary strangle -- no hedge at this time. May hybridize with vanilla long straddle. I trade one every weekend if I am flat-position in the index exotics. I have 100 lot ES GTC limit hedges in place. I will post an update when filled on hedges. I will defer to vanilla gamma with time.

without any price movement , after how many days this position becomes profitable ( on theoretical bases) ? Given fast decay on binary , is it two days in this case ?

aspenboy · May 19, 2006

Definetly "greek" to me...lol. Guess I'm a long,short or flat kinda guy...
Are you guys trying to capture premium erosion or contraction here? BOL...

TGM · May 19, 2006

Quote from riskarb:

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

Well you got a cute kid. He must take after his mother. (JK)

rdemyan · May 19, 2006

Riskarb:

Hope you don't mind me asking an OT question. In OC's forum we've been discussing trying to mitigate the effect a black swan would have on bull puts by buying slightly OTM or ATM VIX options. There's been a lot of discussion that this won't work. In other words, the expected large rise in volatility resulting from a black swan won't necessarily translate to a corresponding VIX call price that we could actually get (b/a may be huge or there might not be any takers that would buy our VIX calls).

What's your take on this and do you have a recommendation for how to hedge against the black swan event?

Thanks and sorry if I'm polluting your thread