Have a $37,000 USD marked loss on the DAX/no touch and futures. Keeping the futures into a new 7d no touch struck at 4880 + short 20 Dec FDAX: DAX spot no touch -- 4880 Premium: 71,000 EUR Payout: 100,000 EUR [includes prem paid] Expires: Oct 5, 2005 Short 20 Dec FDAX from 5033[marked] Risk to strike = $10,000 USD on current blotter print, based upon 20-lot futures priced at 5033. Exotics blotter: +$509,900
Hi Risk, do you find it easier to model on 7 day time frames or what is the rational here? CBOE just introduced weekly options and I wonder if there is a correlation to your thoughts on an opportunity to use them. Thanks, enjoying the ride.
The vol-cone favors >duration, but I choose weekly for its nearly pure gamma. The debit is a function of the vol, but the convexity is everything when trading short durations. They're frenetic, but very little sensitivity to vol -- one less variable. The weekly cboe rollout is moot as I can access a tight OTC market for vanillas and replicate gamma and volatility with identical conventions; i.e., trading a Tuesday ... Monday exotic in lieu of a Friday to Friday vanilla expiration. Thanks
Nikkei double barrier no touch -- 12,700//13,700 Premium: 29,400,000Y Payout: 50,000,000Y [includes prem paid] Expires: Oct 18, 2005 Nikkei refuses to capitulate; faltering US markets seen as domestic-issue, or so I am told. This is the largest debit to date, but vols/gamma are well bid. Nik shows poor corr with US/EUR markets -- will not hedge nor replicate in cheaper gamma, but I will be trading a SPX/DAX replication tomorrow near the DAX close.
Buying the INTC-KLAC-TXN-XLNX as a basket-trade tomorrow at the open < $121.00 x 10k, based upon a touch of the weekly trendline. Not looking for much more than 2 handles... but expect a fill of the gap to 126.75 within a week.
Inside/outside days, key reversals, triple-bar patterns, among other setups. No lagging indicators. I only work with daily and weekly data.