Short EUR/JPY

1:48PM: sold a third 1/4 of EUR/JPY at 160.47.

 

Right, not from the triangular arb/parity calculation.

 

Just took 15 pips gain on this 1/4.

Next destination seems to be 160.10 area.

 

Do you know if someone has investigated whether this can be milked in a sense of selling expensive vol, buying cheapest vol, and hedging with spot of pair with middle vol?

 

I had an exotics journal on ET in which I showed some replication trades using exotics and hedging with the natural cross against the synthetic vol-box [long vol at x, short at x+n].

 

Just took 30 pips on this second quarter. I am leaving one quarter for a longer swing if any. Total pips on 1/4 units so far today are around 70 to 75 pips. I need to attend to other things, so have good trading if I am not back with comments soon.

 

Thanks. I will search for it in ET (I assume it is in the Journals area).

 

That destination is reached. Next one would be area of 159.90, where it might bounce to retest some higher levels of today.

 

I just bumped it for you. I have been reading that journal (dictionary in hand) for a few weeks now and thought I should go ahead and bump it up for those who might be interested.

Nice trading today RFT!

 

I just checked, and got filled on a re-entery on a second 1/4 order short EUR/JPY I left during my absense. Was filled at 160.36. A third 1/4 is now sitting at 160.75 in case the pair decides to make a quick run up and head south during my absense.