riskarb's trading journal

[mahras2]

www.riskglossary.com is a nice little resource as well.

 

[riskarb]

Keep posting those setups, IV.

I have transitioned to FX for all exotics trading. I still maintain pro equity accounts to trade vanilla positions. All further exotic trades will be based in FX. I am currently long the GBP/JPY carry trade and short the 7d touch at 214.20. The arguments for making the switch:

1) Relative anonymity -- dealers offer screen-trading for most of the positions I will undertake.

2) Marketmakers -- more of 'em, " ... ".

3) Liquidity/slippage -- edge-loss much less of an issue in FX.

4) Access -- true 24h screen trading and 1corr for hedging spot against options. No haircut issues on the PB-level.


The only significant arguments against fx is the lack of a significant vol skew and the lack of variance. I will post positions once I roll/expire the GBP and the SPX.

 

[Arb Under Par]

Quote from riskarb:


The only significant arguments against fx is the lack of a significant vol skew and the lack of variance.

I rember this being the reason that you were going to stay away from fx for awhile. Have implied vols picked up, or are you going to be looking at more touches as opposed to no touches?

 

[riskarb]

Quote from Arb Under Par:

I rember this being the reason that you were going to stay away from fx for awhile. Have implied vols picked up, or are you going to be looking at more touches as opposed to no touches?

The +carry pairs don't react to anything but changes in FI rates and carry-flows, and are fairly technical in nature. I am far more vol-dependent in equities and want to remove some vol-risk from the equation. I will be trading touches outright and as long synth straddles as well.

 

[IV_Trader]

thanks , B. Closed half with 45% profit on vols ratio return to the mean , will update the rest at exp.

 

[IV_Trader]

Quote from IV_Trader:

Very high ratio between V-Dax and US VIX this morning , almost 50%. Would you consider an exotic DAX-SPX correlated bet at this point ? BOM shows 27$ to win 100 on 5297/14d NO Touch and only 18$ to win 100 on 1217/14d Touch on SPX. Both 5297 and 1217 are exactly 3% below the current prices.

Both 5297 No touch DAX and 1217 Touch SPX expired worthless.
Profit = 122%

 

[riskarb]

Quote from riskarb:

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.

+$522,000, less the hedge loss. Anyone want to tally the trades since last blotter post? ha.

 

[riskarb]

Long 10,000,000 GBPJPY from 210.25; short the 7/20/06 214.20 touch at $1,000,000/1,410,000 payout.

 

[momoneythansens]

Good job. Your 1175 Bull No Touch nearly 100 handles away should be safe too. $$$

[EDIT: I see you covered that a while back!....it's all good]

Quote from riskarb:

+$522,000, less the hedge loss. Anyone want to tally the trades since last blotter post? ha.

 

[Exodus]

riskarb nice job !!!

I wish a had a clue what the heck you where doing though LOL

Don't sweat it I won't ask you to explain, I've been following the journal for a few weeks and VERY slowly figuring it out.