Option replication and exotics journal

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

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  1. TGM

    TGM


    Well if Oanda opened up their platform for free and let some chart/system developers go wild without the 600 dollar charge a month. I think they would be growing alot faster. I like the fact that I can can put out a no touch for less than 12 hours! In FXCM---you got to go over 12 hours.

    I went like 2.5 and 3 days on the expirations. The options priced out at about 90 percent of payout ---so it was almost like a one to one payoff with the close expirations. But it has been some of the easiest trades ---I have ever done. Two out of three are going to pay and if the one downside barrier gets hit it will only cut my profit by 1/5th (I risked less money on that one). I just put out no touches in markets I knew were not going anywhere over a few days. Not rocket science.

    I really like close expirations. My edge is knowing were the market is going to be or NOT going to be over a few days time frame. Every once in while I catch a big trend ---but usually in pieces. Anything I hold more 2 weeks should get long term Capital Gains tax treatment. I can find Forex trades all day long that I know are NOT going anywhere!!!
    :D
     
    #341     Sep 21, 2005
  2. Feel free to share this information via PM or email, anytime you like. ;)
     
    #342     Sep 22, 2005
  3. DAX no touch -- 4760
    Premium: 45,200 EUR
    Payout: 100,000 EUR [includes prem paid]
    Expires: Sep 28, 2005

    Sold 20 FDAX at 4863.00 avg., into the strike.

    8,000 EUR, spot = strike risk. Conditional order in place to offset futures with a touch of 4760 on DAX cash. Upside b/e at 4945 DAX cash.
     
    #343     Sep 22, 2005
  4. Sold 2mil at 1.2200, flat on spot

    Exotics blotter: +$345,000
     
    #344     Sep 22, 2005
  5. Received a signal to go long the following basket:

    KLAC/TXN/XLNX/INTC

    at the open this morning. Basket closed at $130.57 yesterday. Trade PnL will not be reflected in blotter.
     
    #345     Sep 22, 2005

  6. How do you weigh the basket by price, volatility and marketcap? Also what do you hedge against?
     
    #346     Sep 22, 2005
  7. I really don't want to disclose the basket beyond the obvious, and that it's unweighted. Equal share qty:ticker. I would hedge with NQ, but this is a spec-trade. I will not be hedging this basket.
     
    #347     Sep 22, 2005
  8. Paid $130.60 -- will post the offset.
     
    #348     Sep 22, 2005
  9. Paid 83 on 5 DAX futures. Blotter at +$342,000.

    Short 15 Dax futures into barrier
     
    #349     Sep 22, 2005
  10. SPX Double barrier no touch -- 1198//1239
    Premium: $62,400
    Payout: $200,000 [includes prem paid]
    Expires: Sep 28, 2005

    Long many delta here into a perceived short term bottom.
     
    #350     Sep 22, 2005
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