Option replication and exotics journal

F*CK!!!!! barrier was hit as Nikkei peaked at 13,704. Ugh...

Exotics blotter +277,000

 

Nikkei double barrier no touch -- 13,000//13,900
Premium: 46,620,000Y
Payout: 100,000,000Y [includes prem paid]
Expires: Oct 19, 2005

Betting the ranch.

 

Paid $120.95 for 10k

 

Slow and steady wins the race usually... don't let the volatility throw you off your sizing.

 

Yeah, that was tongue in cheek. A hit will take the account underwater, but I don't see the Nikkei breaking support at 13,200 this week. I am mildly bullish on all index markets.

I will take large bets on occasion, but the majority of debit-risk will remain in the $50-250k range.

 

I'm just sitting here watching the Russell get crushed...

 

Out at 121.00 on 10

 

SPX no touch -- 1167.00
Premium: $48,600
Payout: $100,000 [includes prem paid]
Expires: Oct 20, 2005


Short 30 Dec ES from 1187.50. Risk to strike hedge requires 50-lot, but valuing position a few days forward. I don't see imminent risk of trading to 67. Short weak-synthetic straddle/overwrite.

Missed trading DAX as replication-gamma. Will do so on Monday's session and cover futures.

 

I like that trade. Unless we blow up this afternoon or the Iraqi elections go horribly wrong, expiry and recent support should help to keep things in line next week.

 

Can't get any size done in CME Nikkei futures, so selling spoos against the Nikkei play. Short 100 spoos from 118450 average -- will close on expiration of Nikkei tonight.