I will be paying attention as always. I am down to look at some options positions (timeflys specifically). Directional bets are also good.
Look forward to your sharing... very cool. I did your PF (tm) on the SOX index in a paper trade and man, did it work out. frisbeeca
Thanks guys. I'll be trading exotic and vanilla positions tomorrow near the US close. Maybe a DAX position earlier in the day. A pitchfork is simply a synthetic 1x3 ratio [spot x options]. I trade the synthetic in options w/o a tradeable underlying; sox, hgx, btk, etc... http://www.elitetrader.com/vb/showthread.php?s=&postid=1055844&highlight=pf+dissection#post1055844
SPX cash single barrier, no touch -- 1277.00 Premium: $265,000 Payout: $500,000 [includes prem paid] Expires: May 29, 2006 Negative edge: a lot Strike/barrier volatility: 15% Symmetrical hedge: -300 June ES futures Initial hedge: -220 June ES futures from 1297.50 Weak downside^2 [g/d] short exotic straddle Date/time: 3:45 EDT Looking for a bit of upside to 1305.00 on ES over the next two sessions and a retrace to 1285.00. Short 220 against the barrier. SPX gamma trade, exotic, no touch, synthetic straddle