Option replication and exotics journal

Traded the SPX barrier at 1210 basis cash; this val is highly sensitive to gamma. Marks increasing rapidly.

 

Sold $131.50

 

Nice rally from the lows. Marked-val on the SPX double closed at $85,500. Remain long delta to 23 or so, adjusted for skew.

 

Full payout on gamma, but spot traded within 23pips of downside barrier.

Exotics blotter: +$409,300

Open positions: Large SPX double and DAX synthetic. Both expire tomorrow.

 

+$137,600 on expiration.

Exotics blotter: +$546,900

DAX is the open position... will book the loss on the DAX synthetic tomorrow.

 

Very nice trading B. Healthy 10%+ return already.

 

Thanks B... have to mark it down to the DAX futures loss, but I think we hold above $500k. When I started I was told to limit exposure to 200k; now they're wondering why I'm not trading larger debits. IOW, we love what you're doing, but do more.

 

Haha thats how they are. Whine when you lose ("why are you losing?!", whine when you win "Why arent you winning more?!".

 

Yeah, reminds me of a line from a movie, "LOVE IT; now make me HATE IT!"

 

haha indeed. Anyways man keep it up. At the rate you are going 30% should be hit by you nicely.