Paid 62 average on 500: ($770,000) Cover of 1175 no touch: Sold $3.6mm +$570,000 I would've held-fast, but the vols have plummeted, and only $400k to work with on hedge. There isn't any significant convergence on the exotic from here if we rally.
SPX double barrier: 1215//1290 SPX double: 1210//1290 Premium: $478,000 Payout: $1,000,000 [includes prem paid] Expires: June 29, 2006 Negative edge: a lot Strike/barrier volatility: blended Initial Hedge: NA Symmetrical hedge: NA Vol edge/atm: NA Looking to give back recent gains asap. j/k. Typical weekend decay-play. Looking for a cover at $650k next week. No risk on 1290 cash, and the vols are still well-bid on the 10-20d put-strikes.
Not interested in posting the PnL here, but traded size in the GOOG 390 [6.00] and CME 450 [6.30] straddles, short June into expiration. Not recommended. =)
Quote from riskarb: SPX double barrier: 1215//1290 SPX double: 1215//1290 Premium: $478,000 Payout: $1,000,000 [includes prem paid] Expires: June 29, 2006 Negative edge: a lot Strike/barrier volatility: blended Initial Hedge: NA Symmetrical hedge: NA Vol edge/atm: NA Sorry, typo on the second-line. Had been toying with the 1210 strike, but the debit was kinked and priced on the recent touch of 1220. The debit was $55k higher for the 1210/1290.
risk, seeing that you have alot of experience trading the internationals what is your exprience when it comes to correlation. For example, based on what you've seen in the past, when we have days like today is it more likely than not for the internationals to follow later tonight? Not looking for a free lunch, just interested in what you think on the matter?
I foresee the DAX +2% max on today's action -- I haven't looked at DAX futures, but that would be my take. Europe seems to lead on the downside, US on the upside. I would be long US/Canada, short EUR.