Option replication and exotics journal

Flat futures; sold 100 at 37.00. SPX getting very close to taking out the barrier at 1238.00. SPX last: 1236.36

Exotics blotter: +$243,400

 

Covered the Sep GOOG fly near the close. +7.50 per contract. Won't be reflected in blotter.

 

How ya doin RiskArb. Hope your boy is ok.

Who are trading exotics through? I am ignorant of them. However, they are starting to appeal to me for forex. Especlially, The 'No Touch' deals.


What are you using for pricing?

 

He's 19 months now, doing very well, thanks.

I trade these a variety of brokers; SocGen, BNP/Paribas, DB and UBS for fx. Oanda's offering the touch/no touches for the retail market.

I have someone writing the models in Leading Market Technologies/EXPO. I also use MBRM's exotics add-in for excel.

 

Hey riskarb,

Been following your trades. As I trade some FX too I am looking into exotics as well. The MBRM add in you suggested is it this company? http://www.mbrm.com/

Thanks.

 

You clear all those for personal accounts? Or are you trading for a fund?

 

For a fund.

 

Hey B, yeah, that's it. Check out the UNIVEXOT add-in, and possibly the UNIVDRV, but the latter isn't necessary.

 

Thanks. Gonna look into it. Pretty expensive for an options beginner like me (550) and especially one as cheap as I am (I think I have yet to spend a dime on specialized software, platforms and charts ).

BTW great trading.

 

Thanks. Check out hoadley.net for single barrier pricing -- it's a free java applet.