Option replication and exotics journal

Thanks TGM, good to know. SPX barrier looks to be out of the woods. A bit concerned about the DAX barrier, but the Nikkei delta should help.

 

Sold 25 Sep DAX at 4913.00 average

[Edit: had sold 40, covered 15 at flat]

 

Flat DAX, covered at 4920.00

Exotics blotter: +97,200

Open positions:

DAX, SPX, Nikkei double barriers, no hedge

 

risk, what is 97k in % from total capital?
thanks

 

+1.9% of $5mm. Had been trading 5% of available book. Up to 10% with current positions. Remaining 4.5mm is in fx +carry.

 

short 25 Sep DAX at 4913.00

 

Short another 15 from 4898.00; short 40 from an average of 4907.00

 

Offset 20 at 4906.00 Done for the day on DAX hedge. Short 20 from 4907.50 average.

 

Long 20 Dec ES at 1242.50

 

Long 20 more from 45.50... long 40 from 1244.00 avg