GBP traded thru my no touch, out the premium. Earned a bit on the short spot hedge. Out ($250) per unit, net.
Purchased the CME 280/300/320 call fly for $5.50 today. A bit OT, but figured I'd post the play. Vols haven't come in as hard as I assumed they would. Heard from my broker that the bank is making a market in DAX exotics. Touch/no touch, caps, knocks... Will price some today and possibly trade some in the morning. Dax vols have been very quiet, not ideal for selling gamma.
DAX double: Traded the 7d 4900/4750 double barrier[range]. Entire premium paid is lost if either strike is hit. This differs from a conventional double-knockout in which the opposing strike would remain "live" if one were hit. A fixed payout of $150k EUR is paid if neither k/o barrier is reached. Position risk and payment for the position is $50k EUR. I've been using various models to price; finite difference, Laplace transforms, among others. Dax double barrier[binary k/o range] -- 4900/4750 K/Os Premium: $50,000 EUR Payout: $150,000 EUR [includes prem paid] Expires: Aug 3, 2005 Negative edge: $9,000 EUR A short strangle would be the analogous position in the vanilla-options. Obviously there are significant differences. There are no binary conditions with a vanilla straddle, yet risk is unlimited on the call[vanilla]. Defined: Short gamma/vega binary-strangle with a debit haircut. I own a piece of this trans, brother's fund is the holder.
I neglected to mention that the position is neutral at 4825 basis Dax-cash. Odds are 5:2 against based upon where we're trading, IMO