riskarb's trading journal

[stereo70]

riskarb wrote:

I am less comfortable with the upside risk of selling 850 ES to hedge strong than I am letting the 1225 barrier ride.

How do you get 850 ES for the strong hedge?

 

[stereo70]

Sorry, phrased poorly. How did you arrive 850 contracts?

 

[volatilitypimp]

Quote from riskarb:

SPX bull no touch // weak synthetic straddle

SPX bull no touch: 1225.00
Premium: $525,000
Payout: $1,000,000 [includes prem paid]
Expires: June 20, 2006
Negative edge: a lot
Strike/barrier volatility: 21%
Initial Hedge: Short 270 Sep ES from 125900 average
Symmetrical hedge: Short 500 ES
Vol edge/atm: +300bp

100 points off lows in Dow, although the internals looks horrific as one would expect. I have an added sell stops on futures for 200 more in the 1245-range on Sep futures.

ouchers.

 

[riskarb]

Long 100 ER2 Sep at 67900

The sub-account in down 10% since the inception of this journal.

 

[riskarb]

Quote from stereo70:

Sorry, phrased poorly. How did you arrive 850 contracts?

The $hedge required in futures to cover the debit on the barrier.

 

[riskarb]

Quote from riskarb:

Long 100 ER2 Sep at 67900

The sub-account in down 10% since the inception of this journal.

Flat 677, -20k. Taking a few days off.

 

[ssternlight]

Quote from riskarb:

Flat 677, -20k. Taking a few days off.

Good idea. Taking a few days off has always helped me.

You could enjoy the rest of the week off and come back clear headed after expiry has cleared the decks.

 

[Prevail]

keep rolling with the punches risk.

 

[momoneythansens]

Brutal. Bad luck.

Quote from riskarb:

Flat 677, -20k. Taking a few days off.

 

[IV_Trader]

Quote from riskarb:

Flat 677, -20k. Taking a few days off.

Smart , u be back in no time