A few ETers have mentioned they would like to follow the pricing of single and double barriers. Hoadley has a numerical-method add-in for excel. Using strike-vols in vanilla options can be used as vol-input in hoadley's models. It's important to reflect the vol-smile in index markets; IOW, input distinct put and call skewed-vols. Bullish delta positions infer very debits due to predominant vol-smile. The > the vol the < the debit req. Thanks nkhoi
Was pricing a double in the Nikkei tonight, but the current index print has made my bearish play quite a bit more expensive to carry. I think I'll run a DAX/SPX replication tomorrow into the increased vols expressed this week.
Nice going Risk! I have one very important question: HOW IN THE WORLD DO YOU GET ANY SLEEP WHEN YOU ARE TRADING U.S., ASIAN, AND EUROPEAN MARKETS?
Thanks, I am in trading from P-coast hours now, which helps with the asian markets. I can't seem to get used to the US market opening at 6:30, but love being done at 1:00. The European market hours aren't the greatest, but I usually trade near the EUR close anyway, mid-morning PDT.
SPX no touch -- 1170.00 cash Premium: $49,600 Payout: $100,000 [includes prem paid] Expires: Nov 3, 2005 Short 30 Dec ES at 118900 into the barrier. Expect a rally over the next week to ten days. Short the weak, long-delta synthetic straddle.
DAX no touch -- 4750.00 cash Premium: $55,200 Payout: $120,000 [includes prem paid] Expires: Nov 3, 2005 Short 10 Dec FDAX from 4845 avg. Short weak synthetic straddle, bull delta.
RiskArb, Any pointers on how you size your hedge(s). It looks like you hedge for roughly 50% of the potential loss from hedge initiation -- no idea what the delta of these things is or how it moves...
RiskArb, Please explain to an idiot such as myself what it is you are hoping the market will do, up, down or nuetral, to make this option profitable: Short weak synthetic straddle, bull delta I always print your journal on Friday's to read over the weekend and would also like to know what book I can purchase to learn more about what it is you trade. Much appreciated and good luck. I always look forward to your entries.