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riskarb's trading journal
- Thread starter riskarb
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Quote from riskarb:
SPX no touch // +skew R/R pair
SPX bear no touch: 1301.00
VolBox: +450bp
Initial hedge: 120 SPX 1250p//1290c bull R/R at $3.50 debit
I prefer to go with a bull risk-reversal when hedging a bear-barrier. The equivalent otm bear not touch was only $14,000 cheaper due to vol-edge. The edge from the reversal is > the edge loss on the bear vs. bull no touch. A number of SP pit combos were traded as well. Price is adjusted basis SPX fills.
Quote from rallymode:
risk,
on your IB screenshot the positon is quoted at -4 / -2.70
What kind of fills do you get/expect on these combo's?
I copied the screen after receiving the fill. -4.00 is the as far as it's gone today. The combo was -3.70x-2.20 around the time the combo was filled. It's difficult to game more than 10% off the market price. I could've done a little better I suppose.
Vanilla Synthetic straddle
Short 100 June RUT 720p at $9.50 x 21% vol
Short 50 June ER2 at 730.00 average
Equivalent to selling the natural RUT 720 straddle at $28.30
I actually traded this 200up on the puts, but for the sake of the journal it's 50x100, or 50 short straddles at 720 handle. The add'l 100 was for an unrelated account. Poor fill on both; received the put fill and saw ER2 drop $.40 both times before I could get flat with futures. I sell small prior to receiving the print, but typically 10 lots.
Short 100 June RUT 720p at $9.50 x 21% vol
Short 50 June ER2 at 730.00 average
Equivalent to selling the natural RUT 720 straddle at $28.30
I actually traded this 200up on the puts, but for the sake of the journal it's 50x100, or 50 short straddles at 720 handle. The add'l 100 was for an unrelated account. Poor fill on both; received the put fill and saw ER2 drop $.40 both times before I could get flat with futures. I sell small prior to receiving the print, but typically 10 lots.
Quote from riskarb:
Vanilla Synthetic straddle
Short 100 June RUT 720p at $9.50 x 21% vol
Short 50 June ER2 at 730.00 average
Equivalent to selling the natural RUT 720 straddle at $28.30
I actually traded this 200up on the puts, but for the sake of the journal it's 50x100, or 50 short straddles at 720 handle. The add'l 100 was for an unrelated account. Poor fill on both; received the put fill and saw ER2 drop $.40 both times before I could get flat with futures. I sell small prior to receiving the print, but typically 10 lots.
Would a 690/720/750 Butter be a close equivalent, debit of 9?
Risk,
Any instant disadvantages to constructing a version of the R/R by replacing the short calls with a bear call spread? I just want to make sure I haven't missed something.
Any instant disadvantages to constructing a version of the R/R by replacing the short calls with a bear call spread? I just want to make sure I haven't missed something.
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