riskarb's trading journal
- Thread starter riskarb
- Start date
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Journal Tally:
p32 $48,275 last tally
p42 $10,200 Nikkei pitchfork
p42 ($9,750) ES hedge on 40/94 barrier
p42 ($42,500) touch cover
p45 $8,150 RUT pitchfork
p45 17,350 GOOG straddle
p54 118,000 400 ES hedge
p54 $48,000 210 x 1250/90 R/R
p55 ($30,600) 61-66 ES hedge
p56 ($29,000) 49-61 ES hedge
p56 $42,700 100 x 1240/80 R/R
1249/1294 double barrier: ($272,000)
Journal blotter to date: ($91,175)
Excludes current straddle-synthetic and related hedging.
[Journal blotter 4]
p32 $48,275 last tally
p42 $10,200 Nikkei pitchfork
p42 ($9,750) ES hedge on 40/94 barrier
p42 ($42,500) touch cover
p45 $8,150 RUT pitchfork
p45 17,350 GOOG straddle
p54 118,000 400 ES hedge
p54 $48,000 210 x 1250/90 R/R
p55 ($30,600) 61-66 ES hedge
p56 ($29,000) 49-61 ES hedge
p56 $42,700 100 x 1240/80 R/R
1249/1294 double barrier: ($272,000)
Journal blotter to date: ($91,175)
Excludes current straddle-synthetic and related hedging.
[Journal blotter 4]
In hindsight I should've held the 400 long ES indefinitely, but I wanted to see a gain on those 210 risk-reversals. I sold the 400 ES only to see my reversal deteriorate quickly thereafter.
Extremely poor trading to cover the entire 210 reversals into the rally. Applying the $118k in ES gains to the R/R would've reduced my cost-basis to <$3.00...
I will reduce the turnover on the reversals due to the edge-loss. They're phenomenal for replicating gamma in the barrier, but I am giving up a handle in edge, on average -- $10,000 per 100.
Actually I am quite pleased with the performance, considering I lost a nearly-$300,000 barrier op.
Extremely poor trading to cover the entire 210 reversals into the rally. Applying the $118k in ES gains to the R/R would've reduced my cost-basis to <$3.00...
I will reduce the turnover on the reversals due to the edge-loss. They're phenomenal for replicating gamma in the barrier, but I am giving up a handle in edge, on average -- $10,000 per 100.
Actually I am quite pleased with the performance, considering I lost a nearly-$300,000 barrier op.
Very interesting so far. The small loss is insignificant given the products you traded and the huge move in the market over the past two weeks. The futures hedges certainly cut into the losses.
I think a good double barrier no touch would be around 1190 and 1300 expiring sometime in JUNE. Of course it would not have the same r/r ratio you were using since the strikes are much further apart but it would be a great way to crawl back in and easier to hedge initially.
If you got another end of MAY in ya, I would say 1200 and 1290
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But honestly WTF do I know about these never having traded them LOL..
I think a good double barrier no touch would be around 1190 and 1300 expiring sometime in JUNE. Of course it would not have the same r/r ratio you were using since the strikes are much further apart but it would be a great way to crawl back in and easier to hedge initially.
If you got another end of MAY in ya, I would say 1200 and 1290
.But honestly WTF do I know about these never having traded them LOL..
DUDE...... go for it! I would add another 10 points on the upside though. Leading up to a fed meeting we are going to churn like butter baby. You can hedge that with enough time using 1215 and 1290 strikes. The risk/reward naturally is less attractive given the wider zone. But plenty of time to hedge using SP perhaps...
Again WTF do I know, it is late and I am drunk from American Idol..
Again WTF do I know, it is late and I am drunk from American Idol..
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