Thanks. Many of my option trades replicate a fundalmental therory that I have regarding the stock to be over priced or under priced. So I guess you would say that I am a directional trader who sometimes sells option rather than buys them to take advantage of the fact that even if I am wrong in direction, most options expire worthless. Its cool to watch your journal as you sell exotic options. Keep up the good work.
I got my start in exotics with the major crosses at 10-12 vols. FX vols are <9% on the majors and the stat vols usually exceed implieds. I still trade a carry portfolio, but it's a ton of work and would require 10x the effort to outline it here. I traded FX vanilla OTC back in the mid-90s, but the hours were brutal. I had a trans-lux board in the bedroom and carried a Metriplex-Reuters FX/Alert pager with me at all times. I won't trade vanilla short gamma on FX again. Are you referring to vanilla, exotic, or both? I have traded a lot of crude in the past, but the fills are horrible in NY. I still trade a little crude on the listed-side, but 10-50 lots in a retail account [Man].
It's 4sigmas otm... end of June returns a >95/100 debit/payout. I see where you're going here, but that wasn't my point.
Actually I was not going anywhere, I am curious for my fake exotic portfolio. Already bagged me some $100k . I think we are going to stay rangebound with jumps and falls on economic news until the Fed meeting. So if you put on an exotic like that now, I think in 2 weeks you can get out with a nice profit.
$92,000/$100,000 on the 1200 no touch for July 3 expiration. Equidistant otm "call" no touch is >99/100.
Can I join the party too.... Risk what would be the price for a Double No TOuch Barrier for June 30 expiry on the SPX with barriers @ 1110/1365. What would be the price for a June 30 SPX 1110/1365 range option, i.e. payout if SPX closes within this range on JUne 30, 2006? Is "range option" the precise term for this? Thanks, Risk
Risk , how would you copmpare r/r on CC vs. No Touch ( lower strike) ? Exotic obviously has an edge in limited risk , but how to factor potential whipsaw in the model ? Thanks
Sure, but I will have to start charging you guys... =) $95,000/$100,000, but understand that this double is priced on the call-proximity. The 1365 no touch is priced at 96,500/$100,000. Yes CP, the terminology is fine. That range would generate a >99/100 deb/payout.