riskarb's trading journal

Status
Not open for further replies.
Edit to the "no risk" comment above. There is some vega risk due to the long put of the risk reversal trading atm, in theory. In reality I should be up a ton on vegas since the futures debacle occured after the SPX closed. The vol-strip barely moved today.
 
Sorry for being a "post whore" but I don't want to edit posts when trading large-notional positions.

Obviously the R/R and the futures hedge could not be covered on $1mil... the managed sub-account at Bear has nearly $10mil. I will base all returns on $9.2mm AUM, as is the case. The haircut on the R/R alone is >$3mm. I see no point in scaling to $1mm as was my intention.

ChiBondKing better start sending some chotchkies; mouse pads, pens, etc...





[AUM]
 
Quote from kalashnicac:

And would it be correct to say that with risk-reversals you are less concerned about whipsaw movements than you were with futures, because the gamma of the r-r will reduce as time passes and the r-r heads back to neutrality?
More...

Correct. The gamma at neutral deltas declines rapidly. The downside is the vol-risk at the short-strike of the reversal. As you would expect, the <20d R/R look better and better as time passes, w.r.t. gamma position.
 
Hey guys,

Gone a few hours and see everybody's been having soooooooooooo much fun. Do me a favor and take the Aardvark approach, when someone is obviously annoying and doesn't belong here simply ignore them. Most important, please don't quote them. All that does is give me more work and there's no upside to giving me more work if you want a thread cleaned up. Thanks.
 
Quote from riskarb:

Oh Lordy, look at this thing. Almost two handles + since the fill.
More...

At 7:50pm PDT, it was at 1251... Only during market hours is determination of whether the barrier is hit made?

You definitely had to act decisively under pressure. That's serious cash on the table... Thank you for letting us watch it. And may it turn out in your favor...
 
Quote from segv:

I have a lot of vega exposure at the moment arb, if it makes you feel any better. :D

-segv
More...


Ahhh... my vegas are substantial, but we broke hard on futures after the cash close. Zero risk to holding long vega with today's action. You're seeing black tomorrow w/o a doubt.
 
Quote from frisbeeca:

At 7:50pm PDT, it was at 1251... Only during market hours is determination of whether the barrier is hit made?

You definitely had to act decisively under pressure. That's serious cash on the table... Thank you for letting us watch it. And may it turn out in your favor...
More...

Correct, but basis cash, not June futures.
 
Status
Not open for further replies.
Back
Top