Option replication and exotics journal

Thank you.

 

Rock on risk!

Looks like the beginning of a great Journal

 

Thanks Dr. Z... It will be more position-discussion than realtime-execution posting, but looking forward to it as I am gaining more experience on the exotics-side

 

Selling 100k USD/JPY here at 112.86
Short 250k USD/JPY "touch" struck at 111.36 to expire on 7/26
Long 50k USD/JPY "touch" struck at 113.38 to expire on 7/26

Position resembles a short straddle that reaches neutrality at 112.32[today] with upside call. Added gamma at the short touch, position is 2x5[spot/exotic]. The additional gamma/vega to pay for the upside touch at 113.38

 

I would sell the YM/ER2 position here at ($3.30)

 

Sold a half position in USD/JPY at 112.70 [short 150k spot from 112.78]

 

50k touch was paid. Net effect on running-position is to increase the synthetic straddle credit by $550 per unit. Short 150k spot from 112.78; b/e at 114.22 on spot.

 

risk,

Thanks for trying this journal and showing us these trades.

Good luck.

C

 

Thanks Choad.

Bought a half-position in EUR at 1.2162; long 150k EUR/USD into my short barrier at 1.2220. Received $600 per unit on the touch strike at 1.2038, so I will trade +$200 per unit if we hit my short barrier at 1.2220 before Friday's expiration. A multiple of that gain if we don't hit the strike in the next 48 hours, and the EUR doesn't crack to hard. I will be covering the long EUR spot if we trade to 1.2210.

 

Short touch was hit on the Yuan reval. Lost ($1800) on the 2.5-unit short touch; up $550 on the long touch. Covered the 150k spot at 110.35 a few moments ago, +$3,600 [netting $2,350/unit on entire position]