Thanks for that reply. Are you targeting a specific Beta related to SPX as a standard rule? Generally above it etc? Thx
Nothing to report as the arb in the IRA has no var. First day "on my own" and actually trading through the PB. SPX JUL19 2900/3050 DNT done at 72/100 (worth 70) but couldn't get it done at a better price. Just thrilled to be trading OTC again.
Trying to understand the replication in vanilla. 2895/2900/3050/3055 IC is close approximation of the above right? It is trading at 0.50 for the 5 wide. Assuming touching is double that of plain vanilla, shouldn't the double barrier be around 80/100?
You can replicate a digital double with a vanilla, but not a touch. Price the proximal touch probability and invert for payout.
I am going to be out of town for a week and with spotty internet. I am still holding the arb and a small AGN and AAPL position. AGN is a small diagonal into the deal. AAPL is a small fly position neutral to 198. The cash and sweep reflects the taxable account balance of $24.4K that I'd left in TDA to keep funded and receiving quotes after pulling my IRA balance. I had mistakenly placed a trade in the account which boosted the YTD PNL, so I am adding it to future runs. I am going to quote the combined taxable and IRA going forward as it reflects the overall YTD PNL figure.
YTD gain of $420,222. 9% gain from inception of the journal (calculated from $63K). I'll be using the new combined net liq going forward.