No hit, +$51,400. Covered 50 short ES at 1180.00, short from average of 1185.00: +$12,500 Exotics blotter: +$824,000 My most recent SPX no touch was hit, but the Dax touch will likely be reached tomorrow. In any event, I have plenty of time to reach Dax 4825 for the remaining position. Will settle that combined trade as one blotter entry.
There are no commissions per se... execution in built into the (-)edge paid on the exotics. I pay $5/rt for pit futures and $1.50 for electronic futures. I've rounded-down to the nearest hundred when calculating return. I model each trade and am typically paying 10-12% in edge/ThVal on these exotics. Weekend decay > edge paid. I am more concerned with my distribution prediction/edge paid. Can't avoid paying a substantial vig when trading a dealer/OTC market. OTC dealers compute the edge+replication costs. They're concerned with what it will cost to replicate, not with a commission.
Nikkei double barrier no touch -- 12,600//13,600 Premium: 14,100,000Y Payout: 25,000,000Y [includes prem paid] Expires: Oct 26, 2005 Fell like a stone once we clipped 13,700 this week, but don't see a decisive break of 13,000. Neutral here at current Nikkei cash.
Bought 20 Dec Dax from 4856 avg. Position is long 27 from 4870 avg. Traded within 6 points of the barrier.
SPX double no touch -- 1165//1210 Premium: $50,800 Payout: $100,000 [includes prem paid] Expires: Oct 27, 2005 Neutral at 1188, higher when priced for smile. Obviously going somewhat long here. Long synthetic straddle in DAX, neutrality is a bit under where DAX cash closed -- long 27 DAX futures into the touch barrier at 4825.