riskarb's trading journal

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Thanks. Many of my option trades replicate a fundalmental therory that I have regarding the stock to be over priced or under priced. So I guess you would say that I am a directional trader who sometimes sells option rather than buys them to take advantage of the fact that even if I am wrong in direction, most options expire worthless.

Its cool to watch your journal as you sell exotic options. Keep up the good work.
 
Quote from Prevail:

riskarb, I can't recall you ever using the eurofx or energies such as crude. what are your thoughts on the viability of these markets in selling premium and hedging with an excellerated number of cars?
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I got my start in exotics with the major crosses at 10-12 vols. FX vols are <9% on the majors and the stat vols usually exceed implieds. I still trade a carry portfolio, but it's a ton of work and would require 10x the effort to outline it here. I traded FX vanilla OTC back in the mid-90s, but the hours were brutal. I had a trans-lux board in the bedroom and carried a Metriplex-Reuters FX/Alert pager with me at all times. I won't trade vanilla short gamma on FX again.

Are you referring to vanilla, exotic, or both? I have traded a lot of crude in the past, but the fills are horrible in NY. I still trade a little crude on the listed-side, but 10-50 lots in a retail account [Man].
 
Actually I was not going anywhere, I am curious for my fake exotic portfolio. Already bagged me some $100k :D.

I think we are going to stay rangebound with jumps and falls on economic news until the Fed meeting. So if you put on an exotic like that now, I think in 2 weeks you can get out with a nice profit.
 
Can I join the party too....

Risk what would be the price for a Double No TOuch Barrier for June 30 expiry on the SPX with barriers @ 1110/1365.

What would be the price for a June 30 SPX 1110/1365 range option, i.e. payout if SPX closes within this range on JUne 30, 2006? Is "range option" the precise term for this?

Thanks, Risk
 
Risk , how would you copmpare r/r on CC vs. No Touch ( lower strike) ? Exotic obviously has an edge in limited risk , but how to factor potential whipsaw in the model ? Thanks
 
Quote from CPTrader:

Can I join the party too....

Risk what would be the price for a Double No TOuch Barrier for June 30 expiry on the SPX with barriers @ 1110/1365.

What would be the price for a June 30 SPX 1110/1365 range option, i.e. payout if SPX closes within this range on JUne 30, 2006? Is "range option" the precise term for this?

Thanks, Risk
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Sure, but I will have to start charging you guys... =)

$95,000/$100,000, but understand that this double is priced on the call-proximity. The 1365 no touch is priced at 96,500/$100,000.

Yes CP, the terminology is fine. That range would generate a >99/100 deb/payout.
 
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