Option replication and exotics journal

Bought the Mar futures and sold the 15,250//16,000 outside strangle at 350 adjusted for the futures loss, doubling the contract size. Had earned 300 ticks on my Nikkei short futures into the Mizuho break, but gave it back on my 15,250 synthetic straddle. Long 15 Mar SGXNK futures into the call gamma from 15,720.

 

B,

Wheres you P/L sitting at this point?

 

$2,146,800 marked in r/t in the fund.

 

Why do u think its time to buy jpy?

 

Increases in current acct surplus and wholesale price growth. USD seems to be losing momo above 121.

 

God, how I hate to be short upside gamma.

 

How do u handle the negative interest factor of shorting usd/jpy.. do u just short spot?

 

I don't trade -carry; I simply avoid the pair until I receive a signal to go long.

 

Interesting... besides losing money on the -carry... is there any other reason not to trade in that direction?

 

I don't trade anything based primarily on direction. So it's simply not in my interest to trade fx beyond the carry trade.