Short EUR/JPY

Quote from atticus:

Sure Barry. I assume you meant "arbitrage" but this trade doesn't qualify. I am long the 152/160 DNT and long ES hedge as a proxy. The hedge is sized to lose no more than 20% of the exposure taken on the DNT under 2 sigmas on ES/SPX. I can take heat on ES down to 1290 before I take a loss of 20% of the notional exposure on the EURJPY exotic. So my hard-stop is at 1290.

The 900% return was the result of a modeling error at Oanda. It's no longer exploitable and that 900% was the result on trading short gamma European binary range trades, unhedged. The hedged accounts did ~300% over four months.
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Are you still in this trade? If not, how did it all work out? Fascinating stuff. Thanks and good luck. I'll just stick to the low end noobie type stuff--long/short ES--nothing too complicated or exotic.
 
Quote from allenhobbs:

Are you still in this trade? If not, how did it all work out? Fascinating stuff. Thanks and good luck. I'll just stick to the low end noobie type stuff--long/short ES--nothing too complicated or exotic.
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Yes, the exotic is marked to 65/100 based upon the move towards neutrality and a mark down in vol + decay. Hurting on the ES hedge but it's 20% of the debit at 1290 on ESM8.
 
Quote from allenhobbs:

Thanks, I'll check it out. I've read some Taleb. Hope this isn't over my head.
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From what I've seen on your journal, I doubt there's much that's over your head!!!! God bless!

P.S. Glad to see atticus finally coming around to his senses and not trashing threads.
 
Quote from RacerGX3R:

From what I've seen on your journal, I doubt there's much that's over your head!!!! God bless!

P.S. Glad to see atticus finally coming around to his senses and not trashing threads.
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Yes, thank you Atticus for your civillity. Perhaps your little friend will listen to you, as you seem to have come around. Good day.
 
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