riskarb's trading journal
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GLrisk,
Have you sold any CME premium this month?
Also, short basket vols seems to be doing well on the correlation trade. How are the constituent vols reacting in this environment?
Thx
Have you sold any CME premium this month?
Also, short basket vols seems to be doing well on the correlation trade. How are the constituent vols reacting in this environment?
Thx
Risk , what do you think about this trade :
Short DAX OTM strangle and long OTM exotic strangle ( 2 sep Touch bets, put and call) ?
Its like getting the best of both : collect full premium for short ,but pay reduced (because of the waiver to go past barrier) premium for long , no ?
Obviously , when IV ratio is at extreme.
Thanks
Short DAX OTM strangle and long OTM exotic strangle ( 2 sep Touch bets, put and call) ?
Its like getting the best of both : collect full premium for short ,but pay reduced (because of the waiver to go past barrier) premium for long , no ?
Obviously , when IV ratio is at extreme.
Thanks
There is no advantage on long exotic gamma // vanilla gamma. I would much rather be short limited-gamma in exotics than vanilla. Plus, the reduced debit[+leverage] on a double // independent touches.
Go long the 30d vanilla and sell the 20d double barrier. Whether the trade produces a debit or credit is immaterial. The trade can be traded very large with zero variation haircut.
Hi Riskarb,
I'm looking more and more at the possibility of trading SPX options - I seem to be onto something with that market with a good risk/return. Normally I trade currencies (AUD/USD almost always) and spot gold (XAU/USD) and I wanted to try spoos for more diversity. FX traders take note : aud/usd rocks! (I'm an aussie btw)
My strategy (re S&P500) is to look for confluence between 30/13/5/2 minute charts - looking for traditional chart patterns that are in confluence amongst the aforementioned timeframes. Although I have no "hands on" experience, theoretically I'm happy to get out for a 10 point profit and my theoretical stop would be say 1.5 points. Been looking at these settups for the last 2 months now and I envisage making about 3 or 4 trades a week - almost always holding for a maximum of one day (one night).
I feel that options would give me better leverage (than futures) and I wanted to ask what kind of options should I be looking at to maximise that (leverage)?
I am confident about my entries - taking little heat when I get into a trade. To illustrate, yesterday their was a beautiful reverse H+S on the SPX on the 30min. and the other time frames that I use were in a neat confluence - and the index finished on a high note. I see these types of opportunitiesa regularly and as I mentioned in the chatroom to you - S&P for me seems easier than fx/commodities. The fact that the market is open 6.5 hours as oppossed to 24 hours makes focus easier if you ask me. But I digress, suppose you had $10,000 to trade with - what strategy would you persue to maximise returns on such a move (as outlined above using yesterdays real life scenario).
Thanks in advance for any correspondance.
I'm looking more and more at the possibility of trading SPX options - I seem to be onto something with that market with a good risk/return. Normally I trade currencies (AUD/USD almost always) and spot gold (XAU/USD) and I wanted to try spoos for more diversity. FX traders take note : aud/usd rocks! (I'm an aussie btw)
My strategy (re S&P500) is to look for confluence between 30/13/5/2 minute charts - looking for traditional chart patterns that are in confluence amongst the aforementioned timeframes. Although I have no "hands on" experience, theoretically I'm happy to get out for a 10 point profit and my theoretical stop would be say 1.5 points. Been looking at these settups for the last 2 months now and I envisage making about 3 or 4 trades a week - almost always holding for a maximum of one day (one night).
I feel that options would give me better leverage (than futures) and I wanted to ask what kind of options should I be looking at to maximise that (leverage)?
I am confident about my entries - taking little heat when I get into a trade. To illustrate, yesterday their was a beautiful reverse H+S on the SPX on the 30min. and the other time frames that I use were in a neat confluence - and the index finished on a high note. I see these types of opportunitiesa regularly and as I mentioned in the chatroom to you - S&P for me seems easier than fx/commodities. The fact that the market is open 6.5 hours as oppossed to 24 hours makes focus easier if you ask me. But I digress, suppose you had $10,000 to trade with - what strategy would you persue to maximise returns on such a move (as outlined above using yesterdays real life scenario).
Thanks in advance for any correspondance.
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