Registered: Aug 2011
02-11-13 11:22 PM
Quote from atticus:
Obviously you can hedge anything. The dynamic stuff in DNTs is done with a gamma figure. Anyway, I was only referring to synthetics & static rep. I've been trading touches since 2002 and the best advice I can give would be to trade single touches with an initial spot hedge instead of jumping into DNTs.
My most common trade (in shorting distribution/var) was to sell a touch at say 1SD otm and solve for the spot hedge that resulted in a loss of half the debit on a touch (NT debit of 2(n); n=hedge gain at barrier).
That makes sense.... in essense your slow playing the premium... you have a stop loss figure based on the " half debit..".
If your shorting distro.. isn't that a credit ?