FX is the largest exotic market which comes as no suprise. The no touch barrier defense has the advantage of potential gaps through the barrier which offer potential hedge gains if traded strong. Also, a strong hedge to a no touch can be offset during the barrier defense in hopes of a reversion. I mentioned the DB-barrier defense in an earlier post on this thread.
Flat $ on the combined -dgamma RUT position and VBI hedge. RUT position up a bit on gamma, but odd that vols did rise a bit. P/C ratio must have increased today. VBI was a loser.
Ever trade both, as a spread? Historically, when natural gas is trading for less than 1/10 crude, it is considered cheap. Not for a trade, but for long term. Trading natty by itself is simply asking for it.
I've witnessed $100,000 debits rally to $400,000 in a single day on a 5-handle move in SPX away from the short barrier. [/B][/QUOTE] what does it means ? The new, similar bet will cost 4 times more or you just using the theoretical value ?
what does it means ? The new, similar bet will cost 4 times more or you just using the theoretical value ? [/B][/QUOTE] Take your pick.
Sold another 50 at 82.00; average of 1294.50 on 300. The additional 30 are to cover gammas in RUT position. Not comfortable with this barrier. Bought the VBI futures to close. Nice move, but I neglected to post the buy-prints so I won't tally the results on VBI.
I do not see how the calls would have hurt your position really. A small cost for the calls which would have looked good if CPI was tame and we were up 15 points on the ES. With such a huge short position I was curious about not having the short move against you wiping out the exotic gains..