skew locks

Status
Not open for further replies.
destriero said:
Sure. The trade works when a normalized skew figure is seen (skew model/ATM vol-line). The gigi is in the skew model. I heard it in passing on an FX Majors/vol-desk (pre-EU) when I was in my early 20s and have applied it to eq-index and SN vols. The structure itself was found while I was tinkering with combinations while trying to reduce the haircut figure to something approaching a box/conversion arb while adding vega.

I had an index SL on two CPIs ago and the variation margin was $72K and the position earned $75K on the news. I have a complex order book position but I don't trade it as a COB as it would be reverse engineered.
More...

Pardon my ignorance; but what do you mean by "COB"? Also reverse engineered by whom, the brokerage?

I am also intrigued by the number of strikes by looking at your screenshots. My rudimentary readings into swaps suggest that you need a lot of strikes. You seem to be managing to structure them with lot less. I have not started modeling them so probably missing the finer details.

Thanks.
 
it365 said:
Pardon my ignorance; but what do you mean by "COB"? Also reverse engineered by whom, the brokerage?
More...

COB = Current Open Book

It would be reverse engineered by other traders who are looking closely at the open orders.

@destriero is very protective of his trade secrets... as most people are ;)
 
it365 said:
Pardon my ignorance; but what do you mean by "COB"? Also reverse engineered by whom, the brokerage?

I am also intrigued by the number of strikes by looking at your screenshots. My rudimentary readings into swaps suggest that you need a lot of strikes. You seem to be managing to structure them with lot less. I have not started modeling them so probably missing the finer details.

Thanks.
More...


You can embed one spread(combo) into another. It allows you to quote it as a complex order but I don't fill them that way.
 
destriero said:
Pivot is in. Rate moves (somewhat) independent of labor mkt. Up 4% on the day (all skew/switch locks). If you can't see it then you're in the wrong biz.
More...

Wow. Excellent results. Assuming that you are banking in on the realized volatility due to news, when do you put it in and when do you take it out? Thanks.
 
Status
Not open for further replies.
Back
Top