Dax single barrier, no touch -- 5650 Premium: $1,080,000 Payout: $2,000,000 [includes prem paid] Expires: Feb 24, 2006 Negative edge: a lot Strike/barrier volatility: 12.50% Symmetrical hedge: +250 March FDAX futures Initial hedge: +150 March FDAX from 553200 average Weak upside^2 [g/d] short exotic straddle Smells like short covering on this crazy two-day move. 100-light on the hedge. Trading the weekly was great, but I'd prefer to gain some vega exposure, although vols are so soft. Weekly gamma forces me into huge hedge curvature, which I'd like to avoid. >12 vol was a decent sale, IMO.
I will likely offset the futures hedge if we see a print of 5615 and let the barrier ride. The barrier is priced to DAX cash.
I guess prediction company can't always be right. I read the Predictors many years ago and again recently, very interesting.
Sold futures at 565800 average. +574,000 on hedge. Expect to hit the barrier Monday. Edit: Cash hits barrier. Out the debit less the $574,000. Working another Dax into the weekend, will post the fills in a few minutes.
Dax cash single barrier, no touch -- 5760 Premium: $1,205,000 Payout: $2,000,000 [includes prem paid] Expires: Feb 10, 2006 Negative edge: a lot Strike/barrier volatility: 13.00% [up from 12.20 yesterday] Symmetrical hedge: +380 March FDAX futures Initial hedge: +180 March FDAX from 566600 average Weak upside^2 [g/d] short exotic straddle __________________________________________________ Strip vols continue to rise; feel fortunate to receive a 13 on the vol-line for the barrier volatility. I would trade it larger, but this upside vol is chaotic. 14d hold on this one. Sub-account took a net $506,000 hit on previous. Feel the +expectancy of the current trade is roughly in line with the hit-taken, even in light of the weak hedge at +180 FDAX.