riskarb's trading journal

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Another topic. Do you have any ideas on how I can get out of a bunch of June SPX bear calls that are now worth only $.05 (midpoint) as a spread. I'd like to free up the margin and squeeze some more, albeit lower credits, on FOTM SPX bear calls for June.

Normally I can get out with 1 to 2 weeks left by simply buying back the short for a nickel or dime and then leaving a GTC order to sell the long at a nickel or dime. Many times this legging out method has effectively gotten me out at a spread cost of $0.00.

But with this much time left the short call (SPX 1375) still has enough value in it and I'm afraid I won't get a good price on the longs (1385 and 1390) when I sell them (very large b/a).

I've been looking into a box but selling the ITM for $0.05 to $.10 below the vertical spread width (i.e. $9.95 on a 10 point spread) doesn't sound like it's going to happen with the SPX.

Anything else I could try? Some other type of conversion that would give me new credits for June. Bear in mind that I work for a living so can't always be watching my positions.

Look forward to the day when I can trade for a living and stop answering to my obnoxious clients.
 
Quote from TraderRobb:

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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The credit is not bounded -- much more than the credit rec'd was at risk. The risk is the marked,ntional premiums x static deltas. The risk when entering the position was = 45 ES futures.

The gamma position adds gearing[dgamma sensitivity] in both directions. As we rallied the effective notional exposure increased. When closed, the position was long approx. 65 ES futures.

I had a 4 handle stop on SPX cash, but it was not mentioned in the journal.
 
Quote from rdemyan:

Another topic. Do you have any ideas on how I can get out of a bunch of June SPX bear calls that are now worth only $.05 (midpoint) as a spread. I'd like to free up the margin and squeeze some more, albeit lower credits, on FOTM SPX bear calls for June.

snipped

Anything else I could try? Some other type of conversion that would give me new credits for June. Bear in mind that I work for a living so can't always be watching my positions.

Look forward to the day when I can trade for a living and stop answering to my obnoxious clients.
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There is no synthetic offset which will avail here. Nobody will be willing to take the risk due to the time to expiration. When trading penny spread it's assumed that you're gong t be brutalized on offsets [in % terms].
 
Quote from riskarb:

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.
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That wouldn't be shabby. A nice HF or some financial backer would be nice too :).
 
Quote from riskarb:

Vanilla position:

Sold 16 SGXNK 15750p synthetic pitchforks at 999 and 23% vols:

Sold 16 June future 16050
Sold 50 June 15750p x 233

Delta: ~
Gamma: -7.5
Theta: +225
Vega: -650
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Offset the 50 puts at 127, 16 futures at 16225 average.

$22,200 gain on ops
[$12,000] loss on futures

$10,200 net gain. Nikkei vols have lost one handle on the vol-line. Hoping to get some vol in the afternoon session to reallocate.
 
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.
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Short 50 ES 126250 -- uncomfortable taking this hedge as I am bullish.
 
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