Option replication and exotics journal

R-A , what is the MAX # of overlays you can do on this graph ? Can you create the "mix" screen , like INTC vs. INTC.IV vs. QQQQ.IV ?

 

Yeah, you can.

Just found the MP function, but they don't call it that. GIMH[GO] Market Histogram... seen it before, but didn't realize they plot VA. Not a great implementation, but it's there.

 

I see... they using their own ticker symbology module.
Thanks , R-A

 

Covered shorts at 126800 ES -- expecting a rally tomorrow.

 

Nice rally, but thin. Flattening deltas here at 127600

 

Had a great day today in ES and SPX exotics. Sold my ES hedge within 200 basis[cash SPX] of my upside risk barrier. Figured we were going to touch, so I went flat on my long ES exotic hedge at 127600. Never hit the upside barrier and earned the debit through ES hedge as well as the payout on the double exotic.

 

Sounds great.. what was net p&l for that play?

 

A bit over 500k with the hedge; the exotic was a 500k payout with a 240k gamma-debit. Solved for the risk to the upside barrier and it was blind luck that we didn't reach my cash-strike. I had the debit covered with the futures hedge so I went flat futures < a couple of handles from the HOD before we reversed-lower. I was glad to get it in before the end of the year. Taking the week off. This is CKP-fund monies, but I get a cut.

 

Nice work.. whats the net p&l look like since start of journal?

 

It is good to see this thread still going strong. Are you trading Nikkei options with IB at all? I fool with the futures. Everything is nice and liquid and IB has been alot better than I expected.