Option replication and exotics journal

Discussion in 'Journals' started by riskarb, Jul 14, 2005.

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  1. Short another 40 from 1234.00. Short 70 from an average of 1235.50. DAX at risk, SPX and Nikkei look to be in the bag.
     
    #301     Sep 14, 2005
  2. Flat ES at 1237.50 -- no futures hedge on barrier-basket
     
    #302     Sep 15, 2005
  3. Bot 10 NKD 12,985... minimal hedge, but I don't envision 300 on a cash rally on expiration Monday.
     
    #303     Sep 16, 2005
  4. Full payout received of $95,500

    Exotics blotter: +$174,000
     
    #304     Sep 16, 2005
  5. Yup, good week. Received $49,200 yesterday and neglected to update journal.

    Exotics blotter: +$223,200
     
    #305     Sep 16, 2005
  6. TGM

    TGM

    Risk,

    Good job. I am opening an account with FXCM to trade their Forex Exotic options. The limit is 10k ---but it will at least get my feet wet in Digitals etc. Have you seen FXCM's Exotics? If so what do you think of them? They seem to offer enough for me to start. You are trading Forex options through UBS? Correct?

    www.forex-options.com
     
    #306     Sep 16, 2005
  7. Nice, TGM. Feel free to post stuff here re: your experiences with FXCM. They've been, on avg., 10% above the debits I've been seeing with the French and Swiss. That's not terrible considering the barrier to entry is zero with FXCM. SocGen is tighter than UBS, so I tend to call SG first, but UBS is very solid; much better depth of talent than in the past.

    You'll earn the -edge in a day with a 7d gamma-play. Don't get too caught up in model-val. I have used FXCM's markets to price relative value against the markets made by the wirehouse.
     
    #307     Sep 16, 2005
  8. Prevail

    Prevail Guest

    Risk, what do you mean here?
     
    #308     Sep 16, 2005
  9. Just that the edge loss can be recovered fairly quickly if you're trading gamma/vega[short vs. long, term-structures].
     
    #309     Sep 16, 2005
  10. Out the $41,500 on the 1.2140 touch. +$15,000 recovered from the sale of the vanilla straddle at 1.80.

    Exotics blotter: +196,700
     
    #310     Sep 19, 2005
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