riskarb's trading journal

[kalashnicac]

OK I'm lost now.

When you are hedging the barrier with short R-Rs, fine. But now you're long the futures as well...are you hedging the hedges?

 

[riskarb]

Quote from kalashnicac:

OK I'm lost now.

When you are hedging the barrier with short R-Rs, fine. But now you're long the futures...are you hedging the hedges?

Yes. I could avoid posting, but it is what it is. I am +$130k on hedge excluding open positions. The futures convert a portion of the 1280c to a neutral [weak] short 1280p.

The rationale is to remain long downside [bias] gamma and vega and offers some protection on a sharp rally.

 

[riskarb]

Sold ES 124950 x 50

Offset R/R 100 at 9.50 [9.50 x 11.10] -- tally after close on positions to date.

Barrier null

 

[riskarb]

Today's action on the 1240/80 reversal:

 

[riskarb]

SPX no touch // short synthetic straddle [weak]:

SPX bull no touch: 1232.00
Premium: $294,000
Payout: $500,000 [includes prem paid]
Expires: June 1, 2006
Negative edge: a lot
Strike/barrier volatility: 12.90%
Symmetrical hedge: NA
Initial hedge: Short 100 June ES futures at 1250.00

 

[riskarb]

Quote from riskarb:

SPX no touch // short synthetic straddle [weak]:

SPX bull no touch: 1232.00
Premium: $294,000
Payout: $500,000 [includes prem paid]
Expires: June 1, 2006
Negative edge: a lot
Strike/barrier volatility: 12.90%
Symmetrical hedge: NA
Initial hedge: Short 100 June ES futures at 1250.00

Upside b/e = 1290.00 basis futures as currently structured
Down b/e = NA due to hedging frequency/size

 

[riskarb]

Quote from riskarb:

SPX no touch // short synthetic straddle [weak]:

SPX bull no touch: 1232.00
Initial hedge: Short 100 June ES futures at 1250.00

Bought 30 ES June at 1262.50 to close ($18,900)
Marked loss on remaining futures: -$43,750
Marked gain on 1232.00 no touch: +77,000
Marked position PnL: +$14,350

Short 70 ES from 1250.00
No touch at 1232.00

 

[momoneythansens]

You've had some bad luck with ES entries/exits yesterday/today!

Whats the min risk/reward you go after on the no-touches? Assuming 1:1 is limit.

Quote from riskarb:

Bought 30 ES June at 1262.50 to close ($18,900)
Marked loss on remaining futures: -$43,750
Marked gain on 1232.00 no touch: +77,000
Marked position PnL: +$14,350

Short 70 ES from 1250.00
No touch at 1232.00

 

[riskarb]

Nah, I don't think it was bad considering the barrier debit was lost. Picked up $118k on the 1248 buy, and earned $50k on the 1250/1290 reversal. I will tally the results tonight.

 

[TGM]

Quote from riskarb:

Today's action on the 1240/80 reversal:

Is this the new IB beta?? I did not think we could chart spreads???