Was that based on your trading model or more of a discretionary trade? Great to see profits either ways tho
Somewhat of a hybrid, but based upon a stat vol projection on cash that had me selling at 16700-720 on futures. Thanks.
Bad luck on the hit. Should be OK with this one after a pullback, though it could be close if last week's madness continues. Good luck!
hi riskarb - where are you getting quotes for volatilites shorter than the front option month? i.e. my data shows $VDAX has not been much below 13 this year, i am assuming that are you getting 12%-13% for the duration of your trade, i.e. approx. 1/2 of the 30 day period used for vdax calcs? (or is my data wrong?... looks ok, i've checked against the deutsche-boerse site) - also, are you doing these barriers OTC or is there a more centralized market? - thx, great journal, very interesting - all the best.
Are you using strip vols? I was referring to the vanilla, exchange call struck at 5750 which carries -skew -- the strike which best-matched the barrier, and I believe the 25d otm call was printing 13vol at the time. It's important to use strike vol/strips, otherwise you'll overprice[underprice] call barriers[put barriers]. I trade these through 3 EUR-based ibanks.
ok thanks a lot riskarb - yes $VDAX is calculated much like the vix, using ATMs plus OTM strips, that's what i was looking at - i have just checked out the current skew and i see that the IV difference between the current VDAX and 100-200 pt OTM calls works out to (negative) 1.5%-2% difference, which is the same as when you entered your trade, so it makes sense, i get to the same numbers now.. - this week-plus long rally in the dax is culminating today with yet another new multi-year high, i guess the weakness in the euro is a factor but also seems like so far the strong momentum is just carrying from last year's strong rally, although the IV is on the rise.