Option replication and exotics journal

Nearing neutrality coming into the last few hours before expiration. I'll assume that the barrier will reach full payout.

Exotics blotter: +$144,500

Open positions:

Dax double no touch

 

Sold 10 Dec FDAX at 4856, remain long 10 from 4855 avg.

 

Long 10 Sep from 4824.50
[long 10 Dec from 4855.00 avg]

 

Covered 10 Sep at 4806; remain long 10 Dec from 4855

Exotics blotter: +$138,900

 

Buying 10 Sep ES into my Dax upside barrier. Bot 10 at 1209.25 -- remain long 10 Dec FDAX. Expect an index rally tomorrow.

 

I haven't looked at the journal in awhile and am just paging through it now.

Just a quick comment, I can see that your return curve is volatile. Of course, on a $5M account there is not much overall volatility and I guess that's what makes it tick -- as long as the overall slope is upward.

Thanks for sharing your progress. It's a peek into a new world for me.

Sam

 

The only way to limit variance is to limit size or always be right.

 

Sold 10 ES at 11.25; +$1,000

Bought 10 Sep FDAX at 4829. Long 10 Dec from 4855. Flat ES

Exotics blotter: +$139,900

 

One of the cardinal truths of the markets!!!!!

 

Expect a solid 50-60 points up in the DAX tomorrow. This Dax binary looks to be in a sweet-spot; sufficiently-distant from the upside barrier and I am long a lot of excess deltas with 20 long FDAX futures.