Offset all ES at 1242.00 Exotics blotter: +$89,000 Open positions: SPX, DAX, NIK 2x barriers; short 20 Sep DAX futures
welcome to my world of hedging! frustrating as hell, isn't it? you've done great with them so far. keep it goin'
Yeah, it really is as I had a good system sell yesterday, but was already short a ton of delta. Good news is that I expect 300k out of the current positions. DAX may be at risk, however.
Sold 30 Dec ES at 1139.25 into the DAX double barrier. Henceforth I will notate hedge-points as the barriers are traded to avoid the constant hedge-updates.
Zero-vol on the AM Nikkei session. mark is increasing rapidly on the Nikkei double. A bit suprised we haven't traded below '800.
EUR/USD hybrid short backspread EUR/USD double barrier no touch -- 1.2140//1.2460 Premium: $41,500 Payout: $100,000 [includes prem paid] Expires: Sep 21, 2005 Negative edge: $3,200 Long 3mil of the EUR/USD Sep 21 1.2300 vanilla OTC straddle at 130pips, 8.9%vol, $39,000 debit Vols have ramped due to Schroeder's opposition in Germany and the Fed next week. The pop in vols have discounted the 7d debit by >10%. Should have some decent marks in the position before the Fed meets.
Offset DAX futures at 4916.00 I will not hedge the DAX into expiration. No hedges on remaining barrier to the downside. Potential remains for upside hedging in SPX, but unlikely. Expectation on remaining positions is 6 figures. Exotics blotter: +$85,800