-------------------------------------------------------------------------------- Quote from riskarb: SPX bull no touch // weak synthetic straddle SPX bull no touch: 1225.00 Premium: $525,000 Payout: $1,000,000 [includes prem paid] Expires: June 20, 2006 Negative edge: a lot Strike/barrier volatility: 21% Initial Hedge: Short 270 Sep ES from 125900 average Symmetrical hedge: Short 500 ES Vol edge/atm: +300bp 100 points off lows in Dow, although the internals looks horrific as one would expect. I have an added sell stops on futures for 200 more in the 1245-range on Sep futures. -------------------------------------------------------------------------------- ouchers. Major Ouchers! 1222.52 I don't understand the politics of who makes the market for the barriers, but the people you have purchased the barrier from have hosed you Riskarb, like 9 times now. Is there a way to purchase the barrier somewhere else next time?
lol, 9x? I think that's a bit of an exagerration. The account which holds these positions started at $5mil and is worth $9mil currently. The $9mil is inclusive of the recent 10% haircut and $2mil pulled and allocated to paying partnership shares. From five to eleven in 14 months isn't too bad. The account has never suffered a drawdown greater than this 10%.
Thanks Pre, Stern, IV, Mo, etc... It's the nature of the game, but it was terrible judgement to remove the hedge at a small gain. BTW, SocGen called me with a "killer" deal on a 2w 1200 no touch. Apparently I am the new whipping boy, but that opinion didn't serve them too well when they opened the account.
Hey risk, don't leave me all alone, you are going to miss the easy $ Friday when the generals bend the shorts over.
lol, I am long ER2 and short June 690c in my personal accounts. Longs of the World unite! As soon as we get a solid reversal I am going long.
30d SPX bull no touch // weak synthetic straddle, vega-play SPX bull no touch: 1175.00 SPX Cash: 1222.00 Premium: $2,260,000 Payout: $4,000,000 [includes prem paid] Expires: July 14, 2006 Negative edge: a lot Strike/barrier volatility: 23% Initial Hedge: Short 500 Sep ES from 123300 average Symmetrical hedge: Short 875 ES Vol edge/atm: +400bp Unusual to get heat to trade when you've taken a 10% DD, but I do see some opportunity here in selling some limited-risk vegas at 1223 on cash [1222 at entry]. Trade is large, but linear to gammas/tenors -- I increase notionals as neutral-gammas decrease. Obviously bullish based upon hedge. Vegas are substantial. I will replicate with vanilla and remove the futures hedge within one week.
Well at least it's good your backers have such confidence in you..usually when one has a drawdown they want to shut you down. But if YOU really want to take a few days off (as you indicated previously) why don't you do just that.........?
Totally. I had intended on turning off the server until Monday, but received a strong bullish signal an hour ago.