riskarb's trading journal

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Quote from riskarb:

Yeah, exactly my issue. Who wants to spend their Summer working on stuff like that. We would've placed in the top-5 if we'd not blown it off.

The design is actually pretty amazing; small, self-contained, no HEs and no detonation-var related to krytron delays on the implosion [lead-length].
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Yea I have to start working on it over the summer. Need to figure out what I will do this summer actually (the internship I am in now is a once a week grunt work deal basically). Goal is to find something good to do that can get my brain working.

From the guys that have placed in the past from my school its either:
A) some amazing idea
B) kids with good credentials (SAT/grades/essays)+decent papers

Heres to hoping those french grades don't screw me over.
 
Riskarb:


Sold the long reversal at $3.80 debit, gain of $5.50 on 50.


Gain of $27,425
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As an accountant by training, I feel I walked into Enron....just kidding, but help me understand your trade on the 19th.

You sold 50 puts on sp for 5.50 or $27,425 unrealized profit then bought the calls at 1280 for 3.80 or $19K planning on a profit from buying back the puts for less and selling the calls for a profit?
I don't see the $27K profit very well, but I do see a likely profitable position. How would you measure the risk of this position?

A well trained gut....sounds like the math takes a back seat. Not surprizing.
 
Quote from TraderRobb:

Riskarb:


Sold the long reversal at $3.80 debit, gain of $5.50 on 50.


Gain of $27,425
-----------------------

As an accountant by training, I feel I walked into Enron....just kidding, but help me understand your trade on the 19th.

You sold 50 puts on sp for 5.50 or $27,425 unrealized profit then bought the calls at 1280 for 3.80 or $19K planning on a profit from buying back the puts for less and selling the calls for a profit?
I don't see the $27K profit very well, but I do see a likely profitable position. How would you measure the risk of this position?

A well trained gut....sounds like the math takes a back seat. Not surprizing.
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No, the $1.70 credit and the 5.50 debit are combo-values, not fills on the individual options. Check the time and sales for the approx fills. I fill through an API and a lmt-expo spreadsheet which quotes spread/combo matrices. I believe the put was 16.00 vs 14.30 call on the opening trade... but it was priced as a combo, net premium.
 
Quote from rosy:

i am curious what you think about spreading implied volatility of the same underlying in two different instruments. or if you have heard anything about this. for example, in rates you can buy swaptions and sell caps/floors.
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There isn't an applicable range of product to effect it in equity vol. Best method is standard option replication, long and short intermarket corr.
 
Quote from mahras2:

Yea I have to start working on it over the summer. Need to figure out what I will do this summer actually (the internship I am in now is a once a week grunt work deal basically). Goal is to find something good to do that can get my brain working.

From the guys that have placed in the past from my school its either:
A) some amazing idea
B) kids with good credentials (SAT/grades/essays)+decent papers

Heres to hoping those french grades don't screw me over.
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Maybe talk to the boys over at Livermore Labs... I'll send the specs on the HE-less fission trigger. ha.

I wouldn't get too jacked-up. I don't know where you're going to undergrad, but I am sure it will be close to NYC. Get a 4.0 your first two years and you'll get an internship at a large IB.
 
No, the $1.70 credit and the 5.50 debit are combo-values, not fills on the individual options. Check the time and sales for the approx fills. I fill through an API and a lmt-expo spreadsheet which quotes spread/combo matrices. I believe the put was 16.00 vs 14.30 call on the opening trade... but it was priced as a combo, net premium.

Thanks. That helped and I believe you exited the position the same day now. Greek it hard to learn:D
 
riskarb:

I was surprised by your response. Since you have a math background and have done graduate work, I would have guessed that you would want to quantify potential directional moves as much as possible. Did you start out using TA and then change your mind?

Quote from riskarb:

Gut, intuition, tape, and an email received from my egghead friend with a program similar to inventure's ranger. The egghead-trades are all interday strats, so no help was received with the last two reversals posted in the journal.
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Quote from rdemyan:

riskarb:

I was surprised by your response. Since you have a math background and have done graduate work, I would have guessed that you would want to quantify potential directional moves as much as possible. Did you start out using TA and then change your mind?
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It's not that I haven't given it a lot of thought, but there are others that live and breathe the analysis. I'd much rather outsource. I don't believe in applying binary conditions to an analog dataset. Plus, my maths suck. =)
 
I agree with you. I know the basics, but I outsource my TA as well. Somehow I suspect the professional guys I follow aren't as good as yours. :)

Quote from riskarb:

It's not that I haven't given it a lot of thought, but there are others that live and breathe the analysis. I'd much rather outsource. I don't believe in applying binary conditions to an analog dataset. Plus, my maths suck. =)
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Riskarb:
On the trade on the 19th, the cost was a credit of 1.7 x 50 or $8.500 total.
If the market continued down, when would you have gotten out or just hold on for a later reversal. This was a one way bet and both sides would have been going in the red.
Also, I saw the option page on Google. What service is this through?
Thanks in advance.
 
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