riskarb's trading journal

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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
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Covered -- long too many deltas in the vanilla hedges. $12.90 on the puts, 722.20 avg on the futures.

+$4,900 net w/comms
 
Quote from riskarb:

Sold 30 more from 71.00 -- short 160
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Bought 160 to cover -- $1269.50

ES call barrier hedge: +$66,000 on 160 turns. Feel we're a bit overdone here. Remaining position is +120 R/Rs and the bear call barrier.
 
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SPX no touch // +skew R/R pair

SPX bear no touch: 1301.00
Premium: $316,000
Payout: $500,000 [includes prem paid]
Expires: June 5, 2006
Negative edge: a lot
Strike/barrier volatility: 10%
Symmetrical hedge: NA
VolBox: +450bp
Initial hedge: 120 SPX 1250p//1290c bull R/R at $3.50 debit
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Offset bear call barrier at $445,000. Absurd considering the 10d 1301 bear barrier is modeled at $410,000 at current spot + vols. I couldn't argue holding the exotic and scaling out of R/R deltas, so the R/R is gone at $5.00 [loss of 8.50 x 120] on the cover -- market of 3.20x5.20 when working the combo.

Exotic: +$129,000
ES hedges: +$66,000
R/R: ($102,500)
Position blotter: +$92,500
 

Attachments

Journal blotter:

p61: last PnL: ($34,975)
p64/p70: SPX exotic/hedge: $92,500
p65: RUT synthetic 720 straddle: $4,900
p65: NYX synthetic short: $1,320

Journal blotter to date: +$63,745

Open position: Nikkei weak synthetic [bull NT // short futures]
 
Still think this one was a good bet LOL....


Quote from riskarb:

The 1190/1300 double for 6/14/06 is $620,000 on $1,000,000 [my expo model]. Would you like to place your bet? =)
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Quote from riskarb:

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

Nik bull no touch: 15,270
Premium: $306,400
Payout: $500,000 [includes prem paid]
Expires: June 2, 2006
Negative edge: a lot
Strike/barrier volatility: 23%
Symmetrical hedge: 110
Initial hedge: Short 80 June SGXNK from 15940


A slight dv-skew-premium to trading the put, but it's negligible when trading weekly barriers. I expect to earn on exotic and spot by expiration. Hedge is reduced to 80 due to modeling a static-gamma decline based upon my forward stat-volty estimate. I expect strip vols to trade to 21% and stat to trade to 17% in short-order.
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Hope to short another 40 SGXNK tonight to invert from weak to strong on the barrier math. CME NKD implying 15560 on June SGXNK.

Selling futs at the open of the Singapore session.
 
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