Full payout of 8,940,000Y Attempted to stay-up until near the Nikkei close to trade another 7d, but failed to stay awake. Will trade another on Monday's session, bull-delta. Exotic blotter: +$155,000 to date, no open positions.
DAX double barrier no touch[binary strangle] -- 4810//5005 Premium: 45,500 EUR Payout: 100,000 EUR [includes prem paid] Expires: Aug 26, 2005 Negative edge: 3,800 EUR Neutrality: 4908 Resting hedge at 4945 & 4865 for 20 futures
The AUM in the sub-account of the master feeder devoted to index/fx exotics is $5mil. 3.4% since inception of the journal. I personally represent/receive approx 20% of the earnings on this sub-account through my wife's ownership-interest in the master-feeder.
Thanks for riskarb for sharing. How do you asess your daily risk exposure? What %age of the 5m capital base do you on average deploy to margin for trades? Are you aware of any funds that trade solely a strategy similar to the one you have in this journal. What is the hidden risk or strategy-speciifc risk inherent in this strategy. I.e. what keeps you up at night? Are you limited only to FX & global indices? Thanks again
Quote from CPTrader: Thanks for riskarb for sharing. How do you asess your daily risk exposure? What %age of the 5m capital base do you on average deploy to margin for trades? No more than 3% per asset class[index, fx, debt, etc], and no more than 10% in notional exposure across classes in exotics. The risk is defined by the debit requirement and assumes corr-risk at 1. Are you aware of any funds that trade solely a strategy similar to the one you have in this journal. Yes, but it's not my place to address what others are doing What is the hidden risk or strategy-speciifc risk inherent in this strategy. I.e. what keeps you up at night? The spot hedging into null-gamma when the event-barrier is hit in a no touch. I only need to know "risk to strike" but the futures whipsaws are a concern. I am adding convexity to my hedging method to reduce whipsaw, but it increases scale near the barrier which increases gap-risk on the hedge. Are you limited only to FX & global indices? Yes, self-imposed. I don't have any experience in other asset-classes. I won't trade what I haven't modeled
Should have simplified the structure -- it's synthetically-equivalent to a credit, bear-vertical with +edge from skew. I am going to limit this journal to exotics and hybrids from now on as I trade very little vanilla replication. The hybrids will consist of vanilla/exotic flys+condors, etc.