Hate to do it: Long the SPX 1250 touch at $144,500 on a $200,000 payout. May 30th expiration as with 2x barrier.
Coughing up this hairball at a $42,500 loss. Sold the touch at 102,000 with SPX at 1261.80. Will not hedge this double any further, letting it ride.
Pitchfork question: Is the main idea of the PF because the volatility of the puts is skewed higher than the volatility of the calls so you can make more money? Would you use a PF on the SPX index or is that mainly for an index that has no futures behind it?
Essentially, yes. It works best in the presence of a vol-skew. It's a synthetic 1x3, so it works well in and index product.
Think we've seen the bottom of this decline. Possibly make a marginal new low, but expect to see SPX 1280 in fairly short order.
That's why they're on the teevee. Breadth and tape were not as bad as I would've expected. Volume was good and we had a large reversal bar before the futures-led selloff. I'd expect to see 10.00 to the upside tomorrow on spoos. A lot will depend on the Nikkei and DAX overnight.
Quote from riskarb: That's why they're on the teevee. Breadth and tape were not as bad as I would've expected. Volume was good and we had a large reversal bar before the futures-led selloff. I'd expect to see 10.00 to the upside tomorrow on spoos. A lot will depend on the Nikkei and DAX overnight. Hello B, I'm lurking here, and find this nearly as interesting as your exotics journal. The ER2 which I trade has already had it's 10% decline, and rallied nicely till the last 45 mins, before declining again. It lacked about 3 pts. of going green, while the Dow and S&P made it. Anyway, keep up the good work, and let's not see it come to this http://news.yahoo.com/s/nm/20060522/od_nm/india_gloom_dc_2 although I'm sure it happens here also. That's leverage, it cuts both ways. Stay on the straight and narrow edge B. Good Trading and Good Evening! Kelly BTW, Nice looking young lad you have! :0)