Option replication and exotics journal

Yeah, not especially hairy, however. Nikkei double, DAX long-gamma synthetic and SPX bull double. All for reasonable debit-risk.

 

Offset 27 at 5010. +$32,300

 

Long 100 Dec ES at 1197.00 into SPX and Nikkei barriers. Above neutrality on SPX and Nikkei. Long the DAX touch at 4825, my stop loss on the ES futures.

 

RiskArb,

Any initial thoughts on the SPX weekly options that are going to start up this week?

 

It will be interesting to see how they open; I expect gammas to be fattened a bit due to the uncertainty of a new contract, but they're no more difficult to value than anything else.

I wish they were full-size contracts, but I am sure I'll be trading the convexity against the exotics. Don't know if I will trade them outright/hedge, although to hedge the exotics will require a ton of volume to get anything done due to the nominal contract value.

 

Offset 50 at 1197.25 -- will update blotter after this week's trades are OTB.

 

Long 50 more from 120300. Long 100 from 120000 avg.

 

200 points from upper barrier, full payout of $94,000.

 

($62,800) on touch miss. Will tally all positions at EOW.