Classic exotic terms: down-and-in barrier options down-and-out barrier options up-and-in barrier options up-and-out barrier options asset-or-nothing binary options cash-or-nothing binary options gap binary options supershare binary options one-touch asset-at-hit options one-touch cash-at-hit options one-touch asset-at-expiry options one-touch cash-at-expiry options double barrier kick-in options double barrier knock-out options double barrier no-touch options double barrier one-touch cash at hit options double barrier one-touch cash at expiration options double barrier one-touch asset at hit options double barrier one-touch asset at expiration options asset-or-nothing up-and-in digital barrier options asset-or-nothing up-and-out digital barrier options asset-or-nothing down-and-in digital barrier options asset-or-nothing up-and-in digital barrier options cash-or-nothing up-and-in digital barrier options cash-or-nothing up-and-out digital barrier options cash-or-nothing down-and-in digital barrier options cash-or-nothing up-and-in digital barrier options Vanilla synthetic relationship: Knockout + knockin = vanilla [same strike/tenor c/p]
What is the parity equation for exotic barriers. assuming same barrier numbers K/O +K/I =??? Thanks Swampy
Sold 10 FDAX at 4936 -- long 10 from 4954. Exotic blotter from inception of journal: +$166,500 Open positions: Dax 8/26 double barrier no touch +10 Sep FDAX futures from 4954
Sold 10 FDAX at 4920 -- flat futures -- out $16k hedging this one. Unlikely that I will hedge further, will favor an offset. Exotic blotter from inception of journal: +$156,000
Took this recent downtick to sell SP Sep 1200p for 11%vol[$14.00*3]. Sold Sep futures into exposure at 1220.75: 1x3 ratio
It seems hedging is the hardest part of this strategy. Do you have a sense of what your returns woudl be WITHOUT hedging? Is there a fully systematic way of hedging? Or is this hedging heavily discretionary in nature? What %age of profits come from hedging, from the actual options trade? Keep up the good work and do keep teaching/sharing! THANKS!
Hedging accounts for approx 20% of gains to date; I chased the DAX as I had day-orders in place, not GTC, that I missed on the way up. The goal is to be accretive on hedging. I am running at stat-vol sigmas[1,2,3] to expiration for 20lot blocks per 100k EUR payouts, adjusted for forward-gamma. Whipsaws are the cost of doing business.