Option replication and exotics journal

As mentioned, the trade earned $200 per unit, as the short barrier was hit.

 

Short a no touch on the GBP/USD struck at 1.7352. Received $480, risking $520 per 100k notional. Expires 7/26

 

Replication #2:

Short ER2 or RUT Aug 665 straddle at 15.90% vol
Long YM Aug 10600 straddle at 9.20% vol
To the sell: $100 per unit


Traded 2:1 favoring YM longs. Receiving a ($1.00) credit, marked at 11:52 EDT.

Looking to hold to something above parity. It's long correlation, long gamma/vega/dgamma.


Edit: Short NQ here at 1605, spec trade. 1585 target/1615 stop.

 

Stopped on short NQ. This market is the definition of insanity

 

Sold NQs at 12s... 10 handle stop/20 handle target

 

Sold 25k spot position at 1.7515 into the no touch. Converted to a synthetic short straddle. Risk at the barrier-strike is zero.

 

Riskarb... Where can one learn the types of srategies.. I am still an options newbie.. any good books or advice?

 

Zhang's book is difficult, and rife with maths errors. Taleb has an intro in "Dynamic Hedging"

Exotics summary: http://www.finpipe.com/exoptions.htm

 

Haven't gone anywhere on the GOOG selloff post-earnings. Covering here at 04s

 

Letting the no touch run solo -- bought back the spot at 1.7380