OK I'm lost now. When you are hedging the barrier with short R-Rs, fine. But now you're long the futures as well...are you hedging the hedges?
Yes. I could avoid posting, but it is what it is. I am +$130k on hedge excluding open positions. The futures convert a portion of the 1280c to a neutral [weak] short 1280p. The rationale is to remain long downside [bias] gamma and vega and offers some protection on a sharp rally.
Sold ES 124950 x 50 Offset R/R 100 at 9.50 [9.50 x 11.10] -- tally after close on positions to date. Barrier null
SPX no touch // short synthetic straddle [weak]: SPX bull no touch: 1232.00 Premium: $294,000 Payout: $500,000 [includes prem paid] Expires: June 1, 2006 Negative edge: a lot Strike/barrier volatility: 12.90% Symmetrical hedge: NA Initial hedge: Short 100 June ES futures at 1250.00
Upside b/e = 1290.00 basis futures as currently structured Down b/e = NA due to hedging frequency/size
Bought 30 ES June at 1262.50 to close ($18,900) Marked loss on remaining futures: -$43,750 Marked gain on 1232.00 no touch: +77,000 Marked position PnL: +$14,350 Short 70 ES from 1250.00 No touch at 1232.00
You've had some bad luck with ES entries/exits yesterday/today! Whats the min risk/reward you go after on the no-touches? Assuming 1:1 is limit.
Nah, I don't think it was bad considering the barrier debit was lost. Picked up $118k on the 1248 buy, and earned $50k on the 1250/1290 reversal. I will tally the results tonight.