Option replication and exotics journal

SPX no touch -- 1216
Premium: $56,200
Payout: $100,000 [includes prem paid]
Expires: Sep 27, 2005

Short 50 Dec ES from 1239.00 -- SPX 1233 basis cash

Solved for the risk to the barrier and hedged light. Long delta. Risk at barrier = $14k loss on combined position. Short synthetic/exotic straddle.

Upside b/e on static-hedge = 1256.50 basis Dec ES futures hedge[50x]. Will lighten futures if we trade long above 1248 on Dec.

 

Risk, the more sp trades you do the better

As soon as I can fund a trading account with the banks I'm going to do so. I have no interested in trading with these retail fx firms.

thanks for all the insights.

 

Thanks Prevail. I'm sure you'll be trading this product soon.

Bought 10 Dec ES 1235.50; short 40 remain

Blotter: +$375,750

 

I'll amend the description... it's more of an overwrite than a synth straddle.

 

Will try to include screeshots of exotic vols/vals

 

EUR/USD double barrier no touch -- 1.1970//1.2340
Premium: $35,700
Payout: $100,000 [includes prem paid]
Expires: Sep 27, 2005
Negative edge: $4,200
Notional[fx]: 10mil


Looking for a floor in EURUSD near current levels. The small debit reflects the upside delta at +40d

 

Saved the wrong valuation screen... here is the correct analytic. It's the initial "quick 'n dirty" valuation done in r/t.

 

You timed the sp hedge right, good job.

Did you build this excel file or does it come with software from one of the banks you work with?

 

That's a fixed page from Reuters 3000Xtra.

 

Bought 1mil EUR at 1.2220