riskarb's trading journal

Status
Not open for further replies.
Cool. I am not trading any where near 50K boxes (I was still under the impression that they limited boxes to 2K) so I am not going to be worried.

Speaking of pips, a box I had was hit today. It was a miss box at 1.2912 and apparently the high was at 1.2914 before plummeting to the 1.2770 mark. Ended up with a wash trade but those trades can be frustrating as hell.
 
Quote from mahras2:

Well decided to take the plunge into boxoptions by Oanda. The strategy is essentially to buy up boxes with high payouts then hedge using spot so that when box is hit loss of box price=gain in hedge. Of course i also need to have a stop loss so that (payment-price)=hedge loss. So the idea is to put in such positions when I determine that the rate will stay between a certain trading range (with the goal of creating as wide of a trading range as possible which is directly dependent on obtaining fat payments). The risk is that the rate will hit the stop loss on the hedge and then bounce and hit the box resulting in a loss of the payment of the box.

Don't know how stable a strategy like this is and will try this out on some play money for a month to get a hang of it before going in with some risk capital.

Any comments on such a strategy?
More...

the short box is almost synthetically = to short strangle , but costs more (higher spread for ITM options). Looks like you planning short nonaggressive gamma scalping at barriers. Stop losses are worthless when big moves in spot occurs overnight ( and they do). Whipsaw is your enemy. You need a good low alpha candidates to do good.
Good luck
 
Quote from mahras2:

Cool. I am not trading any where near 50K boxes (I was still under the impression that they limited boxes to 2K) so I am not going to be worried.
More...

You can buy many of the $2k boxes. In this case, 25 of them. =)
 
Quote from IV_Trader:

the short box is almost synthetically = to short strangle , but costs more (higher spread for ITM options). Looks like you planning short nonaggressive gamma scalping at barriers. Stop losses are worthless when big moves in spot occurs overnight ( and they do). Whipsaw is your enemy. You need a good low alpha candidates to do good.
Good luck
More...

sorry , didn't see Risk's reply from above ; forget what I just said :)
 
Quote from riskarb:

You can buy many of the $2k boxes. In this case, 25 of them. =)
More...

Ahh I didn't know that. Way to make a client's life hell though in case you need to quickly close out a position for whatever reason.
 
IV> I am actually going to limit myself to the week (Monday-Friday when exotics are traded) so technically I have no "overnights" but a gap will definitely hurt me. Large whipsaws from +100 to -100 are my enemies for sure.

BTW guys is there any reference or website when I can read up on using exotics to replicate vanilla positions (straddles, strangles, collars)? Thanks all the responses.
 
Quote from mahras2:



BTW guys is there any reference or website when I can read up on using exotics to replicate vanilla positions (straddles, strangles, collars)? Thanks all the responses.
More...

I don't know if one is exists. Ones I spend couple of days on replication and failed miserably. Should of listen to B , the waver of going beyond the strike/barrier(in exotics) makes comp between vanilla and exotics almost irrelevant. Right , Risk ?
 
Someone sent me an excellent replication today in email. Anyone interested should send a large check, payable to cash. Thank you.
 
Quote from riskarb:

Bought the NDX double barrier no touch expiring on the 30th. Paid 505/1000 payout. Lower/upper barriers: 1515//1595
More...

those are good odds/payout considering the fact that indices' HV printed single digits lately .
Good luck , B
 
Status
Not open for further replies.
Back
Top