Riskarb, Do you keep a running PnL on each market you trade as well as the particular strategies or is it just one big blotter...
Offset another 25 at 121800. May be a decent position, but marked-loss is > 30k today with the gain from deltas in the exotic. Short 75 ES into the SPX barriers.
enjoying the journal, riskarb. keep it up ! however, i have a question--- SPX no touch option? is this a spread betting firms product, or your own formula?? surfer
Surf -- it's a common exotic option traded interbank OTC... they possess truncated-payoffs, loosely-termed "binary" due to conditions at the barrier strikes. A trader going long the touch[no touch] wants the underlying to touch[avoid] the barrier strike. There is an absence of greek-risk at the barrier-event, so that it becomes possible to short gamma/vol with limited risk, but with the attributes of a short [synthetic] straddle or natural strangle. The value of the position trades inverse to vol; the > the vol the cheaper the debit in play.
I keep a running PnL dissection among classes and methodology. It's not necessarily worthwile as it stands to reason that replication strategies will have a poor r/r but lower var, while synthetic straddles and double barriers the opposite conditions. I place greater importance on index traded/methodology.
Exotics Date/PnL: 10/28 SPX 1170 +$50,400 (assuming 1170 is not hit today...) 10/28 DAX 4750 +$62,800 10/30 NIK 2x ($75,000) Futures hedging related to above: ($49,000) Net: ($10,800) Previous exotic blotter tally: +$960,600 Exotic blotter tally: +$949,800 Open positions: SPX 118400 no touch + short 75 futures from 120825, marked loss at 122375 = ($58,000). 125 contract futures hedge loss, booked: ($35,700)
Well managed considering we went parabolic this last week or so. Any time I can get out flat when I am leaning the wrong way is a victory to me.