"Yes, as any directional or vol forecast is based upon daily-bar analysis" Great trade! Just curious, did you expect a bounce off the 200 MA?
SPX 10d Double No Touch Barrier: SPX cash double no touch: 1249 // 1294 Premium: $272,000 Payout: $500,000 [includes prem paid] Expires: May 30, 2006 Negative edge: a lot Strike/barrier volatility: blended Symmetrical hedge: NA Initial hedge: NA Short exotic binary strangle -- no hedge at this time. May hybridize with vanilla long straddle. I trade one every weekend if I am flat-position in the index exotics. I have 100 lot ES GTC limit hedges in place. I will post an update when filled on hedges. I will defer to vanilla gamma with time.
To English-ize it, you saying that you would prefer to buy the wings now and then add the body if you expect IV to increase a bit?
Or a "negative index print" as this should correlate with an IV increase? I think you mentioned this on the combo to fly conversion thread, but do you have a preference on the length of time you allow before converting?
without any price movement , after how many days this position becomes profitable ( on theoretical bases) ? Given fast decay on binary , is it two days in this case ?
Definetly "greek" to me...lol. Guess I'm a long,short or flat kinda guy... Are you guys trying to capture premium erosion or contraction here? BOL...
Riskarb: Hope you don't mind me asking an OT question. In OC's forum we've been discussing trying to mitigate the effect a black swan would have on bull puts by buying slightly OTM or ATM VIX options. There's been a lot of discussion that this won't work. In other words, the expected large rise in volatility resulting from a black swan won't necessarily translate to a corresponding VIX call price that we could actually get (b/a may be huge or there might not be any takers that would buy our VIX calls). What's your take on this and do you have a recommendation for how to hedge against the black swan event? Thanks and sorry if I'm polluting your thread