Twice came within a hair's distance of the 1.8052 barrier. Sure it will be hit, but interesting to watch "them" defend 1.8050
USDCAD barrier[binary long call] -- 1.2095 Premium: $15,200 USD Payout: $25,000 USD [includes prem paid] Expires: Aug 19, 2005 at 10am EDT settle Negative edge: $1,200 USD Well within one sigma at the barrier. The gamma is incredibly-cheap considering all the spot vol. Tried to make a case for short gamma, but couldn't... so here's a loooong gamma play. Wanted a 1:1 r/r, but didn't want to extend past 1.2100 on spot to get it. Short 600k USDCAD from 1.2025 into a buy-stop at 1.2097 Synthetic short straddle. Flat deltas.
I haven't netted it out yet. I will tally every weekend. Probably down about $10k or so. Had mark to market gains of $150k that were blown out near expiration. Going to trade quite a bit tighter/conservative going forward.
I am a principal in my brother's offshore fund. I get a piece of each position. The only downside to trading otc is dealing with French brokers. The barriers to entry are high when trading otc equity vol. FX is fairly easy to penetrate. UBS will give offshore funds full-access to FX exotics for $500k.
Hey what's wrong with french brokers? They have the reputation of having the best financial engineers... Exotics are also available for retail customers at betonmarkets (GB)-currencies and indices.