PMHF -- Journal positions and PnL

Discussion in 'Journals' started by riskarb, Oct 20, 2006.

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  1. I wanted to document my performance as a retail schlub before retaining prime brokerage services in the first quarter of 2007. As the title suggests, this will be my retail path to personal HF enlightenment. I have $1.4mm on account with four brokers/dealers. All are within reach of any reg T, retail player.

    The positions taken in those accounts will be posted here, in real-time whenever possible. Primary strategies have not changed for the most part, save for the inclusion of a classic dispersion strategy in the DJIA.

    Classic dispersion -- long the vol-box, long swap, short correlation. There are some path-dependent pricing assumptions which I intend to abrogate through the discrete turnover of diametric-outliers on the long gamma component basket. I intend to show that it is possible to add significant alpha to a pure replication. One caveat: I will not produce PnL or trade-structure beyond the outlier transactions. I consult with a fund and some retail traders on this strategy. I'll also be trading this professionally in the first quarter.

    The remaining positions:

    -- Vanilla options, discretion
    -- Exotic options, discretion
    -- Vanilla/exotic replication

    The exotic positions will be transparent to all that wish to follow along. I will be trading through a listed vanilla broker and three exotic dealers; OANDA, ABN-AMRO and OANDA for FX exotics and spot; ABN-AMRO for short duration Bund and DAX exotics; and BOM for longer durations in SPX, COMPQ, DAX. All pricing can be readily vetted with these dealers.

    Portfolio allocation:

    IB: $1,113,000

    OANDA: $150,000 divided equally among three accounts to skirt $20k exotic position limits.

    ABN-AMRO: $125,000 [100k EUR]

    BoM: $12,000

    The IB account will be used to structure the dispersion, as well as trading in vanilla options, futures and hedging transactions. Many of my exotic positions carry listed vanilla option or futures hedges traded through IB.

    The Oanda account offers touch/no touch barrier exotics on twelve spot fx pairs with a $20k global limit per account on the options.

    ABN-AMRO offers touch/no touch barriers on DAX, Bund and a handful of fx pairs. ABN exotics are limited to 5-days in duration.

    Barrier exotics in SPX, COMPQ and DAX will be traded at BoM. They allow durations from 9-180 days and maintain a $20k limit on accounts, $10k on payouts.

    I welcome constructive criticism, position recos, major suckups, etc.. I'll start trading on Monday.


    At the suggestion of IV_Trader: I'll use this thread to reference positions, entries, etc... Leaving the original thread open to Q&A. Thanks.
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