riskarb's trading journal

El OchoCinco · Jun 5, 2006

Then better to let it bounce tomorrow and load up on about $10,000 of OTM puts on either SPY or XSP at 122 strike for JULY...

riskarb · Jun 6, 2006

Quote from riskarb:

Short 150 June ES at 127000 against the SP straddle and DAX double.

Covered at 65.25 x 150 -- +$35,000 on hedge; DAX and SP unhedged.

riskarb · Jun 6, 2006

SP 1280 straddle offset at 2900 x 20-lot [2800 x 2900]

riskarb · Jun 7, 2006

DAX/SPX cash double barrier vol-replication

DAX double no touch: 5300 // 5900
Premium: $755,000
Payout: $1,500,000 [includes prem paid]
Expires: June 27, 2006
Negative edge: a lot
Strike/barrier volatility: blended

SPX "short" double no touch: 1230 // 1305
Premium: $685,000
Payout: $1,000,000 [includes prem paid]
Expires: June 27, 2006
Negative edge: a lot
Strike/barrier volatility: blended

Volbox: +700

Long correlation, long volbox, short small gammas based upon notional-asymmetry. Trade would be long gamma if trading equal dollar. Largest risk is correlation. I don't expect to be trading against either position. The SPX is equivalent to a double knock-in.

El OchoCinco · Jun 7, 2006

Is the JUNE SPX exotic expiring before or after the FED?

Crucis · Jun 7, 2006

Riskarb, I've only been trading a year. Could you explain what a "double no touch" is?

IV_Trader · Jun 7, 2006

Quote from riskarb:

DAX/SPX cash double barrier vol-replication

DAX double no touch: 5300 // 5900
Premium: $755,000
Payout: $1,500,000 [includes prem paid]
Expires: June 27, 2006
Negative edge: a lot
Strike/barrier volatility: blended

SPX "short" double no touch: 1230 // 1305
Premium: $685,000
Payout: $1,000,000 [includes prem paid]
Expires: June 27, 2006
Negative edge: a lot
Strike/barrier volatility: blended

Volbox: +700

Long correlation, long volbox, short small gammas based upon notional-asymmetry. Trade would be long gamma if trading equal dollar. Largest risk is correlation. I don't expect to be trading against either position.

How DAX top/low barrier is 11% , but SPX is only 6% for almost the same reword (1:2)?

Aardvark · Jun 7, 2006

one more question

when you say negative edge a lot...what do YOU mean by that? coach isn't the fed the 28th..

El OchoCinco · Jun 7, 2006

That is what I did not know. The strikes make me nervous only if the cover the FED announcement. If not, then I think it is a high prob bet since the market will die leading up to that date.

Key is next week's CPI/PPI. If the market churns, I would tell risk to maybe get out a few days before if he could with a nice profit lol.

Quote from Aardvark:

one more question when you say negative edge a lot...what do YOU mean by that? coach isn't the fed the 28th..

riskarb · Jun 7, 2006

Quote from IV_Trader:

How DAX top/low barrier is 11% , but SPX is only 6% for almost the same reword (1:2)?

Check again -- SPX payout is $1mm