Option replication and exotics journal

Flat futures at the close of the day session -- 16070

 

Laid off most of my remaining deltas here at 16,000 -- flat deltas at 16,180.

 

Sold 30 of the Mar 15,250 puts at an average of 149. Sold 6 futures to get flat on that position, which nets me short only a 2 lot futures and the previous 30x100 position.

Flat deltas at 16,150 and short an uncomfortable dgamma position. I will be hedging this aggressively with futures.

 

Nikkei position +$24k since Friday. Going long ES here at 126850 -- thinking we could see a 10-15 point pop today or tomorrow.

 

Nice going on the Nikkei - how are you liking those penny increment options?

RE: ES - Definitely ripe for a sharp move in some direction!

 

Thanks Mo. Yeah, the pennies are nice, but the autoquoter's don't want to trade that often. Very bullish on US index markets here.

 

Risk,

Would you mind sharing your reasoning behind your bullish take on US indices?

Thanks!

 

Discretionary; bull-reversal in Nikkei, oversold US markets, strong EUR markets. Concern over Bernanke unfounded.

 

Covered half at 127550.

 

Good job.