riskarb's trading journal
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Risk, next question.
I am looking at going long a lopsided strangle on SPX. With SPX at 1288 I was looking at JULY 1310C/1260p on the strangle now for about $25 as IV has moved back to 14.50 or so.
As the end of June comes I am looking for IV to ramp up on some strong dips or bad FED news and either take a profit on the increase in IV or roll into Iron Fly if we get back to 18 vols and up.
The other idea is I could sell a JUNE ATM straddle now for about $24 or so and if we instead hop around shrink some premium out of it. If I did JUNE 1290 for $23 I could possible work my way into a JULY strangle for almost nothing if the market churns.
I am looking at going long a lopsided strangle on SPX. With SPX at 1288 I was looking at JULY 1310C/1260p on the strangle now for about $25 as IV has moved back to 14.50 or so.
As the end of June comes I am looking for IV to ramp up on some strong dips or bad FED news and either take a profit on the increase in IV or roll into Iron Fly if we get back to 18 vols and up.
The other idea is I could sell a JUNE ATM straddle now for about $24 or so and if we instead hop around shrink some premium out of it. If I did JUNE 1290 for $23 I could possible work my way into a JULY strangle for almost nothing if the market churns.
Guys, if you want to get an idea of the price of exotics, you can use betonmarkets.com; I use it for paper trades. Barrier ranges is the equivalent of double no-touch, and expiry range is the same but european style.
Then there's the interesting "up" or "down" which is probably the closest you get to a chooser option, and that can be used for hedging condors.
Then there's the double touch, where you win if the index touches both barriers (one after the other). No idea what that can be used for, though.
Hope it helps.
Kalash'
Then there's the interesting "up" or "down" which is probably the closest you get to a chooser option, and that can be used for hedging condors.
Then there's the double touch, where you win if the index touches both barriers (one after the other). No idea what that can be used for, though.
Hope it helps.
Kalash'
I differ on interpretation:
The "Up or Down" is synonymous with a double touch = long double American digital/binary
i.e. it is the other side of the "Barrier Range" bet = double no touch = short double American digital/binary
The "Double Touch" bet (possible misnomer) is the interesting one as it seems more like either a regular (down and in) knock-in call or knock-in put depending which barrier is hit first. Brain not big enough to decompose that one into binary + vanilla synthetic right now....I'm sure it will come to me when I stop thinking about it....
[EDIT: Of course it is just a double barrier/double knock-in with two dependent knock-in barriers...how to decompose...]
The "Up or Down" is synonymous with a double touch = long double American digital/binary
i.e. it is the other side of the "Barrier Range" bet = double no touch = short double American digital/binary
The "Double Touch" bet (possible misnomer) is the interesting one as it seems more like either a regular (down and in) knock-in call or knock-in put depending which barrier is hit first. Brain not big enough to decompose that one into binary + vanilla synthetic right now....I'm sure it will come to me when I stop thinking about it....
[EDIT: Of course it is just a double barrier/double knock-in with two dependent knock-in barriers...how to decompose...]
Yes, the up or down should in fact be called a double touch (as opposed to double no touch). I didn't mean to say it was exactly equivalent to a chooser, I just wanted to point out that if you like condors, it's the kind of hedge you might want to consider, especially if you have planned out adjustments at certain levels : say you have a 50pt wide condor and you want to adjust when spot is at 10pt from either of your shorts, then the up or down with barriers at both adjustments points (30pt wide) will enable you to finance your adjustment.
What they call the double touch is a bet on "sideways volatile movement". I really don't see how those kind of options can be used. Unless you want to hedge yourself against whipsaw movements maybe...I don't know...
The DT is extremely sensitive to gamma[vega] on short[long] durations. They're typically used to gamma-trade large concave, short gamma positions, i.e., straddles. I've never found a place for them personally, much like the reverse knockout calls/puts. The inspiration for both structures must have been boredom.
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