riskarb's trading journal

riskarb · May 22, 2006

Thanks Kelly -- Griffin is 27mo and he's counting to 40 and knows the alphabet.

The Mumbai meltdown is certainly an eye-opener, but it seems like an isolated event. We're certainly not correlated strongly with their market. Now, if the melee started in Indonesia or Singapore I'd be a lot more concerned. Beyond this 2x barrier and the small RUT trade I have no equity exposure.

I hope to see some SPX upside to effect a bear risk reversal or a long bear touch.

riskarb · May 23, 2006

Quote from riskarb:

Think we've seen the bottom of this decline. Possibly make a marginal new low, but expect to see SPX 1280 in fairly short order.

Nice to wake up to +1200 on ES. =)

Aardvark · May 23, 2006

amen...you should be making $$$ hand over fist today

riskarb · May 23, 2006

SPX exotic is neutral here, which adds $80k to marked PnL on the position. RUT position is up quite a bit as well.

riskarb · May 23, 2006

Quote from riskarb:

Vanilla index overwrite:

RUT/ER2

Sold 100 RUT June 720p at 10.60 at 21% vols
Sold 30 June ER2 futures at 739.50

Position delta: -500
Neutral delta: RUT 736.00

Offset 30 ER2 at 724.50 +44,850
Offset 100 RUT 720p at 13.90 ($33,150)
Hedge r/t loss from 10-lot ($3,550)

RUT net: +8,150

ssternlight · May 23, 2006

Quote from riskarb:

Offset 30 ER2 at 724.50 +44,850
Offset 100 RUT 720p at 13.90 ($33,150)
Hedge r/t loss from 10-lot ($3,550)

RUT net: +8,150

Always been impressed by your money management.

Could you talk a bit more about your thought process as you run through a few more trades?

riskarb · May 23, 2006

Quote from riskarb:

Vanilla trade:

Short 50 GOOG June 390 combos at 38% and $34.50

June 390 combo offset at $31.00 [$30.50 x $31.10] ... wanted to take advantage of the pop from 380 to 383.

Goog net: +$17,350

Sure SS, will do. Thanks.

Cache Landing · May 23, 2006

Risk,

Obviously your margin requirements are different than mine. In your opinion is a risk-reversal too margin intensive for a retail trader?

momoneythansens · May 23, 2006

Retail can use ES options (amongst others) to mitigate some of the Reg-T woes.

Quote from Cache Landing:

Risk,

Obviously your margin requirements are different than mine. In your opinion is a risk-reversal too margin intensive for a retail trader?

riskarb · May 23, 2006

Quote from Cache Landing:

Risk,

Obviously your margin requirements are different than mine. In your opinion is a risk-reversal too margin intensive for a retail trader?

I pay retail-req on the listed options, although my brother will be running a broker-dealer this year. Use ES, YM, ER2 and NQ for your reversals to benefit from SPAN.