one-offs

Credit left tail. 17 delts/car and adds BP.

 

Hundreds of these on. SPX. Almost root time neutral v. Best in six months.

 

TREMENDOUS arb. I am starting to move the mkt so I am getting close to capacity.

 

$24 VaR. 24 dollar notional value at risk. ES (expected shortfall) which is more conservative is showing $122. I've broken the market.

 

740 lots. RT-neutral (nearly, rounding error). That's a day1 stress. Vanna-volga expressing $0 risk.

 

I'm up $65K in the last three hours on edge. Almost $2K in comms.

 

omfg. I am going to hit the thing for 2K lots tomorrow.

 

It's long 2100 SPX deltas with a tail credit. A tail credit.

 

Spread flattened as gamma flipped.