Nikkei double barrier no touch -- 12,180 x 12,880 Premium: 4,600,000Y Payout: 11,000,000Y [includes prem paid] Expires: Aug 30, 2005 Negative edge: 424,000Y Neutrality: 12,530 basis Nik cash Vols have contracted into this bull run. Not as comfortable with the pricing, but it's the best offer I could find. Feel that the DAX vols will start to contract in line with Japan and US vols. Don't expect to be chasing hedges on this or the DAX double.
EUR/JPY Reverse KO call: EUR/JPY 7d 133.50C, KO 135.80 "Up and Out" Reverse KO. Bought the 7day 133.50 Call, KO 135.80 for 26% of the payout. It's a small position and don't want to clutter the journal with the P&L as it wouldn't make a dent either way. Wanted to mention the Reverse KOs, since they are very odd, counterintuitive plays... Standard KO calls are of the "down and out" variety and go null when deltas decrease -- they're path-dependent, but reverse KOs have chaotic, kinked curvatures before the outstrike is reached. IOW, the greeks are horrific, but allows you to gain some limited delta for very little expense.
At 14? How did you do it? I had placed a limit order (Interactive Brokers) on Sunday evening to sell the Sept 1215 puts at 13.75 limit and never got filled.
hello, I'm struggling a bit with your notations. Could you let me know the price you paid for the 1.2038 one touch expressed as a % and in dollar terms and how much you got paid for selling the 1.2220 one touch. I roughly came up with 65% for the 1.2220 on a notional of $4k and 85% for the 1.2038 on a notinal of $1.4k assuming a 16% vol. At the 1.2038 barrier you have a $440 delta loss, earn $2600 from the short 1.2220 one touch and earn $210 from the 1.2038 for a rough total gain of $2370. At the 1.2220 barrier you have a $1380 delta gain, a loss of $1400 on the 1.2220 one-touch and a loss of $1190 on the 1.2038 for a rough total loss of $1210. That doesn't match your numbers, can you tell me where I am wrong. thx
It was a very small trade. I should've broken in down into $payout/notional-size, but I wanted to show scale for those that trade spot fx. I'm not inclined to go back over the run for this, but I posted the hit on the long touch, and then we traded higher. Here are the journal posts that reference the events/offsets: http://www.elitetrader.com/vb/showthread.php?s=&threadid=52298&perpage=6&pagenumber=7 All exotics subsequent to the EUR have used $payout notation.
riskarb- Great journal! Just curious if you have a target return in mind? Something like 3-5% per month without a lot of deviation. I know this is just a sub-acocunt of a larger fund, but some investors can get a little weary of big numbers. Keep on rockin'!
thanks Par. The risk is limited to 3% of AUM on the exotics. The risk lies in the futures hedging. I don't have any targets per se
I have a Sharpe-target that I am trying to achieve, but for the most part the variance is low by keeping the exotic-debits to 3% or less. There are 6-8 investors in the master-feeder, so it becomes material if we lose someone. If corrs go to 1 we lose 3%, couldn't be simpler.