The dG/dS convexity kinks at approximately 25d, advantageous for hedging >1sigmas. Also, you gain from from the static-gamma losss on the deep otm side. As you approach 50d per side [same-strike] you're buying concavity and a synthetic futures contract.
Correct, paired no touches will allow a profitable offset on one of the pair. Doubles are proximity/contamination trades.
I see risk to 1270 on futures this week. I am far to concentrated in the bull R/R. Selling another 30 ES futures tonight.
Paid even on the $60 handle synthetic. +$1,320 after comms. Took the gain so I could remove it from my quote page [spot = $69.80].
Sorry European OTM credit spreads are path-independent because it doesn't matter what path the price takes from initiation till expiration - it is only the final price that matters in theory. As we all know, depending on position size and risk/reward, people (partially) hedge, adjust, roll these European OTM credit spreads depending on price action thus negating the path-independence attribute to some degree. An American binary/digital (all or nothing) is path dependent because it does matter what path is taken between initiation and maturity because a touch could happen in the interim. Discontinuous payoff refers to the risk profile of the position - it is all or nothing and hence the profile is discontinuous. Contrast this with the "ramp" payoff for a vanilla call/put etc. As it turns out, a narrow OTM credit spread has somewhat of a discontinuous looking payoff risk profile. Indeed, the narrower it becomes the closer it resembles a European binary/digital and hence the closest vanilla replication of a European binary is a credit/debit spread. Don't make me type "discontinuous" again MoMoney.