riskarb's trading journal

Yes, understood. I was looking at SPM6 futures just to get a feel for the open tomorrow and see how things might go for your barrier position.

 

Sold 400 Jun ES 1254.50 average: +$118,000

Double barrier and R/R remain.

 

Sold all 210 at 11.00 -- ES 1258.00 [10.80 x 12.60 market]

Will tally today after the close.

 

Short 120 June ES at 1261.00 -- new hedge against barrier.

 

Sounds like a good name for a movie: "Back to the futures"

 

Out at 66... ($30,600), flat all hedges -- low is in for the week.

 

Hmm, I'm thinking more like "Get Shorty"


We now return you to your regular programing.

 

Vanilla SPX June R/R to open:


Paid $5.00 on 80 bear 1240p // 1280c risk reversals -- single hedge to the May 30th double barrier.

Sold the volbox at -400bp

 

Paid $6.00 for an additional 20 [3.80 x 6.20 market]

 

I am keeping the R/R for the G/V, bought 50 ES June futures at 1261.00