Option replication and exotics journal

Discussion in 'Journals' started by riskarb, Jul 14, 2005.

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  1. Thanks. The new SPX 118400 no touch + futures are only marked to a $20,000 combined loss. Would like to see a bit of a pause here.
     
    #461     Nov 3, 2005
  2. DAX double no touch -- 4900//5075
    Premium: $49,600
    Payout: $240,000 [includes prem paid]
    Expires: Nov 10, 2005

    Narrow range double -- fully expect to get hit, but well priced for a lottery ticket.
     
    #462     Nov 3, 2005
  3. Riskarb research from Bear
     
    #463     Nov 3, 2005
  4. No touch OTB at full payout: +$151,400
    Futures-hedge loss at 122175: ($86,500)

    *Remain short 75 Dec ES from 120875, marked at 122175.

    Previous blotter: +$949,800

    Exotic blotter tally: +$1,014,700

    Open positions: Dax double lottery ticket. Short 75 Dec ES.
     
    #464     Nov 8, 2005
  5. A few months ago I interpreted a comment you made on another board as indicating that you lost a great deal of money trading, and were therefore not a good trader (great on theory, weak on execution).

    Well, you had a good explanation for that comment, and you have shown here that you ARE a good trader (not that you or anyone needs someone's else vote of confidence).

    Congratulations on the seven figure return, and thanks for letting the rest of us look over your shoulder.

    synic
     
    #465     Nov 8, 2005
  6. Covered 75 Dec ES at 122075.

    Blotter print: +$1,018,500


    Thanks Synic
     
    #466     Nov 9, 2005
  7. Dax never traded > 5050. Full payout.

    Exotics blotter: +$1,208,900

    No open positions. Will trade SPX at the close today.
     
    #467     Nov 10, 2005
  8. ozzy

    ozzy

    Thanks riskarb for the thread, brand new material for myself.

    Appreciated.

    ozzy
     
    #468     Nov 10, 2005
  9. Thanks Ozzy.

    Vols flat on the week -- a good thing considering we've made marginal new highs. Today's jump in stat-vol bodes well for getting something off tomorrow. The NYSE adv didn't make NHs, so I'll be looking to fade it a bit, neutral SPX to 1225 or thereabouts.
     
    #469     Nov 10, 2005
  10. SPX no touch -- 1218.00 cash
    Premium: $208,600
    Payout: $400,000 [includes prem paid]
    Expires: Nov 17, 2005

    Short 300 ES from 123500 average -- short strong synthetic straddle.
     
    #470     Nov 11, 2005
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