Offset short futures hedge near the FDAX close last Friday. Fully expected to eat the debit on the exotic at a touch of 4820, but DAX cash never saw a print below 4832 today. Sold 30 FDAX Sep at an avg. 4868 over the last 30mins.
The futures were a hedge against the delta position in the DAX exotic. There was no prediction involved; I was simply covering my ass.
ATM vols are trading in the 29s, 100bp in edge as I write this. Wing vols are getting trashed. The wings are trading (1.50) lower, allowing for a risk on the fly of $3.60 from here. Nothing done.
Covered the FDAX short at 4841 a moment ago. $55k earned on hedge[since inception], so I'll leave the exotic unhedged from this point. Simply due to the hedge gain nearly covering the risk on the exotic.
Wow, dodged the 4820 bullet once again. Sold 10 FDAX at 4879 to flatten deltas a bit. Position marked at 98k EUR on the bid. Expect to see full payout.
Bought the Sep 280/320 outside strangle at $8.00 -- $2.70 risk on the fly from inception. Vols are 27[28%] on the body[wings]. Have no intention of replicating the original straddle or adding any new positions in GOOG.
42k EUR on the hedge. The exotic is still running until the DAX close tomorrow. I've been getting PMs regarding brokers/ibanks who trade equity vol... These trades are done in my brother's offshore-feeder through DB, SocGen and BNP-Paribas. FX is handled through UBS and DB.