riskarb's trading journal

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I have a DAX double barrier, but haven't posted it here... waiting on the dealer. Nikkei position looking good. It's difficult to get a decent market on the gamma-trades, <14d. I will be trading 3-8w expirations from this point to improve on the edge loss.

I've been busy the last few days with wife's first 2d ultrasound; we're having a girl in October. I'll be able to post with greater frequency.
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Congratulations! Our little girl is 8 months.

I was leaning short until about 5 minutes ago, just had to flatten out. I would really like it if we found the upper end of the range around here.

-segv
 
Congrats! Mine is about 5 weeks away and wife was admitted to the hospital for bed rest the last 5 weeks so my trading has also had to quiet down.

Youy probably would not have to trade so much if you just put on the mid-June double barrier no touch on the S&P we discussed LOL..... you know I aint gonna let that crap die unless it actually would have lost money (then shhhhhhh). :)

Quote from riskarb:

I have a DAX double barrier, but haven't posted it here... waiting on the dealer. Nikkei position looking good. It's difficult to get a decent market on the gamma-trades, <14d. I will be trading 3-8w expirations from this point to improve on the edge loss.

I've been busy the last few days with wife's first 2d ultrasound; we're having a girl in October. I'll be able to post with greater frequency.
More...
 
DAX Double Barrier:

DAX cash double no touch: 5450 // 5875
Premium: $198,500
Payout: $400,000 [includes prem paid]
Expires: June 12, 2006
Negative edge: a lot
Strike/barrier volatility: blended
Volbox: NA
Symmetrical hedge: NA
Initial hedge: NA

GDAX double barrier payoff at 7% range from 5685 neutrality [5492-5877]:

[7d +69%] [11d +91%] [20d +420%] [32d +1223%]
 
Thanks 007, Congrats Segv and... weren't you banned, twice? 1300 not looking so hot right now, OC. =) Tell the wife to eat some bon bons and watch Oprah. That will keep her out of your hair. :p
 
CME Straddle:

Sold 50 CME June 450 synthetic straddles [short spot x 450p, 1x2] at 33%vol, $24.80 natural. I expect that we'll touch 30% vol within a week and hover within 12 handles of the 450 strike. Spot = $455-56 currently.
 
Quote from riskarb:

CME Straddle:

Sold 50 CME June 450 synthetic straddles [short spot x 450p, 1x2] at 33%vol, $24.80 natural. I expect that we'll touch 30% vol within a week and hover within 12 handles of the 450 strike. Spot = $455-56 currently.
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Risk , can you trade UK stock's options ? A lot of high nominal stocks ( like CME)
 
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