Covered -- long too many deltas in the vanilla hedges. $12.90 on the puts, 722.20 avg on the futures. +$4,900 net w/comms
Bought 160 to cover -- $1269.50 ES call barrier hedge: +$66,000 on 160 turns. Feel we're a bit overdone here. Remaining position is +120 R/Rs and the bear call barrier.
Offset bear call barrier at $445,000. Absurd considering the 10d 1301 bear barrier is modeled at $410,000 at current spot + vols. I couldn't argue holding the exotic and scaling out of R/R deltas, so the R/R is gone at $5.00 [loss of 8.50 x 120] on the cover -- market of 3.20x5.20 when working the combo. Exotic: +$129,000 ES hedges: +$66,000 R/R: ($102,500) Position blotter: +$92,500
Journal blotter: p61: last PnL: ($34,975) p64/p70: SPX exotic/hedge: $92,500 p65: RUT synthetic 720 straddle: $4,900 p65: NYX synthetic short: $1,320 Journal blotter to date: +$63,745 Open position: Nikkei weak synthetic [bull NT // short futures]
Hope to short another 40 SGXNK tonight to invert from weak to strong on the barrier math. CME NKD implying 15560 on June SGXNK. Selling futs at the open of the Singapore session.
Oh man... what a C! LOL.... $150k in about a week! Dude my imaginary double barrier portfolio is blowing you away!