riskarb's trading journal

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Quote from riskarb:

Sold another 50 Sep ES at 124650avg. -- short 550 from an average of 123400 net of comms.
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Paid 62 average on 500: ($770,000)
Cover of 1175 no touch: Sold $3.6mm

+$570,000

I would've held-fast, but the vols have plummeted, and only $400k to work with on hedge. There isn't any significant convergence on the exotic from here if we rally.
 
Quote from riskarb:

Paid 62 average on 500: ($770,000)
Cover of 1175 no touch: Sold $3.6mm

+$570,000

I would've held-fast, but the vols have plummeted, and only $400k to work with on hedge. There isn't any significant convergence on the exotic from here if we rally.
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The guy that sold you the no touch must be pretty pissed off today...:)
 
Quote from ssternlight:

The guy that sold you the no touch must be pretty pissed off today...:)
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They've been calling me all week to lay-off bull bets. Fcuk them.
 
SPX double barrier: 1215//1290

SPX double: 1210//1290
Premium: $478,000
Payout: $1,000,000 [includes prem paid]
Expires: June 29, 2006
Negative edge: a lot
Strike/barrier volatility: blended
Initial Hedge: NA
Symmetrical hedge: NA
Vol edge/atm: NA


Looking to give back recent gains asap. j/k. Typical weekend decay-play. Looking for a cover at $650k next week. No risk on 1290 cash, and the vols are still well-bid on the 10-20d put-strikes.
 
Not interested in posting the PnL here, but traded size in the GOOG 390 [6.00] and CME 450 [6.30] straddles, short June into expiration. Not recommended. =)
 
Quote from riskarb:

SPX double barrier: 1215//1290

SPX double: 1215//1290
Premium: $478,000
Payout: $1,000,000 [includes prem paid]
Expires: June 29, 2006
Negative edge: a lot
Strike/barrier volatility: blended
Initial Hedge: NA
Symmetrical hedge: NA
Vol edge/atm: NA



Sorry, typo on the second-line. Had been toying with the 1210 strike, but the debit was kinked and priced on the recent touch of 1220. The debit was $55k higher for the 1210/1290.
 
risk,

seeing that you have alot of experience trading the internationals what is your exprience when it comes to correlation. For example, based on what you've seen in the past, when we have days like today is it more likely than not for the internationals to follow later tonight?

Not looking for a free lunch, just interested in what you think on the matter?
 
Quote from rallymode:

risk,

seeing that you have alot of experience trading the internationals what is your exprience when it comes to correlation. For example, best on what you've seen in the past, when we have days like today is it more likely than not for the internationals to follow later tonight?

Not looking for a free lunch, just interested in what you think on the matter?
More...

I foresee the DAX +2% max on today's action -- I haven't looked at DAX futures, but that would be my take. Europe seems to lead on the downside, US on the upside. I would be long US/Canada, short EUR.
 
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