poopie's FU trading journal
- Thread starter poopie
- Start date
$60MM (the screenshot was from work, employer and address redacted). It's OTC vanilla and exotics in FX and equity vol.
I have reasonably strict risk-limits at work on partials (gamma, $vol) as well as notional limits. IOW, I would be gone the same day if I were to attempt to bet the wad in one go.
"Being neutral" arithmetically is of little use in index markets. You cannot use ATM volatility to model the DNT. "Best marks" on the existing equity index position will always be above the expiration neutrality price. IOW, do not go into these markets pricing neutrality, for example, as a -200 down and +200 up barrier DNT (from current spot).
Use a 25D risk-reversal vol-line in vanilla markets or from a data-vendor like IFRMarkets in FX options.
Use a 25D risk-reversal vol-line in vanilla markets or from a data-vendor like IFRMarkets in FX options.
Personally I use the max thornsen equation, max is actually short for maximillian not maximum. It's a simple equation, p = the square of q to the power of 2 divided by half T. Once you calculate that, you'll find the result particularly useless without the other half of the equation which is the minimum thornsen equation. In this case the signal I am given is to buy. It's not so much to do as so little as what everything is. Now, everyone knows that the vast majority of traders make a lot of money very quickly with little to no experience. I on the other hand have more experience than most Harvard and Yale employees. An important thing to understand here is that we are looking at a picture of time. The future states that the memory of the sensation in which we live our lives is only mirrored by the perception of ourselves within the passage of time. Common knowledge but important nonetheless. This perception can be altered by adjusting our inward outlook and internal outward experience within the paradigms of our personality. Most traders that fail have experienced what is known as an ego death. The ego is required to successfully maintain a heightened state of emotion which is, the key to success.
I'm just being silly, ignore me poopie. I am genuinely interested in what you do if only I could understand it. I believe in simple back-of-a-napkin trend following systems but I am trying to be open minded.
The closest representative to the var swap would be long futures under cash or preferably the short calendar (switch) at a large credit. Say the Jun/Jul at 120 or better here. I am rusty in the listed market. I much prefer trading the SPX outright.
I try to stay away from VIX as the settlement is easily manipulated. The underlying requires a ton of contracts to be traded to effect any decent size and the algo is shit.
Re: rates. You can trade a box arbitrage on any liquid option series which currently offers the best return on initial req.
I realize that I come-off as arrogant, and I am sure that it's true, but I am not here to convert anyone or gain clients. I enjoy trade-craft and figured that retail exotics and a segue into vanillas could help some people diversify outside their income stream.
Realize the single-touch options are simply the touch probability, adjusted for the fwd-price on the underlying. You can use delta under BSM as an approximation. It won't work for any kind of discrete hedging, but it can be used for initial pricing and a static stress test. Very little in options trading is easier.
"Easy to model, tough to hedge"
Emanuel Derman
ISDA-netted swaps, liquidity arbs in the Jap session, vol of vol, OTC 1st gen knockouts on FX and equity indices ((no)touches, DNTs), 25-delta risk-reversal indications (skew curvature in $), vol-exposure in deep ITM markets (all-delta), 90D SPX call at 18% reflects less than $1 in premium at 30-days...
...let's start with the fact that your name is poopie and work our way backwards.
...let's start with the fact that your name is poopie and work our way backwards.
How did you learn to trade poopie?
I feel like with IM, I need to learn a certain skill in order to force a go on a certain outcome, and as I keep teaching myself new things, it all comes together in a nice little package.
Trading just seems like you need to know what everything is about immediately.
I feel like with IM, I need to learn a certain skill in order to force a go on a certain outcome, and as I keep teaching myself new things, it all comes together in a nice little package.
Trading just seems like you need to know what everything is about immediately.
There's an underrated magical indicator that exists which you can use that sums up all the fundamental information in the world. A finite number that results from an infinite number of variables. It is both the yin and the yang. It is serious, but with a slight wink. It lays out a new course of action but can change direction at any moment.
It is called The Price.
Don't miss the forest for the sign out the front that says "This is the forest".
This trade is not a reco, but I did but it moments ago, larger size than what is displayed. US equties don't trade until Tuesday morning.
I will be back with the spot trade against (in short EURUSD/married touch) which would resemble a long straddle in listed vanilla terms. Long the local touch from 90/100.
Win, (touched 1.3649) and much earlier than expected.
damn too funny them tags.
Most of the stuff is tucked away in books/tomes and on the job experience - Al Brooks is not going to have this in a $197 course... But let's try to decipher.
ISA-Netted Swaps - Start here Swap (finance) - Wikipedia, the free encyclopedia and here ISDA to Change Calculation for Swaps Rate Amid Regulatory Probe - Bloomberg
From this it'll make sense why the interest-rate rigging thing was such a big deal. Trillions were at stake.
liquidity arbs in the Jap session - See above - particularly the Currency swaps. And this - the_japan_premium - Devtome
Maybe this as well - Carry (investment) - Wikipedia, the free encyclopedia
This'll make sense why they always harp on about Japan.
vol of vol - http://en.wikipedia.org/wiki/Volatility_smile
Why they say that people learning Black_scholes as the only pricing method are herbs.
Easier term - implied volatility (not sure if OP is referring to this). It's a crucial part in pricing options (especially more so in exotic ones).
OTC 1st gen knockouts on FX and equity indices - Exotic option - Wikipedia, the free encyclopedia but that won't be enough. Generally speaking its an option that becomes worthless (in this case) if it exceeds a certain value (extremities, lets' say the option was worth 40 as face value, written as a 50 but ended up at 60 which was the knockout price). The increasing popularity of exotic options is why you see the binary options being advertised everywhere - the lure of massive profits is very tempting (but there's lots of profits for the market maker hence why there's so much manipulation that happens). Also see - http://mathfinance2.com/MF_website/...-ForeignExchangeOptions-CekanWendelWystup.pdf
You really, really need to do a course in Finance, in particular Quantitative Finance (Usually you'll see this at the masters level) to understand it all. Or learn from work.
25-delta risk-reversal indications (skew curvature in $) - Risk reversal - Wikipedia, the free encyclopedia & http://www.quarchome.org/FXSkew2.ppt and the books you see 1st page google if you search "25-delta risk-reversal indications" in google. http://studenttheses.cbs.dk/bitstream/handle/10417/1554/akmal_kurbanov.pdf?sequence=1
This is a simplified version - Risk reversal: Definition from Answers.com
vol-exposure in deep ITM markets (all-delta) - Wilmott Forums - Deep in the money put
But fuck it for that term I really couldn't tell you much except it involves In-the-money options and the direction of trading. Learn about the options greeks (those annoying things). I'm guessing he's referring to how as the stock (or whatever is being traded) changes per $1 the option's value also changes. Poop will explain it better.
90D SPX call at 18% reflects less than $1 in premium at 30-days - as it reads. Info on SPX here - CBOE - Product Specifications
You're writing the option because you believe that the SPX will be less than the option's price on the day of expiry. Different from American option since that can be settled at anytime up till expiry.
It's a Euro option so it can only be settled on it's expiry day. So lets say you're on the wrong side for each day up to expiry; but Joe who's got a massive position is about to dun goof - he calls the boys at Goldmans and JP Morgan and tell them to call their boys and push them SPX down hard so that the option expires worthless. You profit from the premiums. The calling the boys part is just some excitement since by the time you reach down here your brains frayed from all the reading you've done. It does happen though.
Correct me if I'm wrong Poop I don't trade exotics since my balls aren't big enough for that and I don't got a hookup at the Big Bank for da BOIZ club.
Lol all this big talk and you're trading binary options.
Binaries and retail forex are all ran by crafty israelis like teddy sagi. If you're a consistent winner they assign your account to the control room who then shift the rug under your feet til you blow your account.
Binaries and retail forex are all ran by crafty israelis like teddy sagi. If you're a consistent winner they assign your account to the control room who then shift the rug under your feet til you blow your account.
I trade through UBS and DB for work. It would be moronic to show my work front-end, but on the job I trade DNTs, touches and even digitals on occasion. Interbank trading of touches (just singles) exceed $1B a day on EURUSD alone. At work I am limited to >2W durations.
My largest positions are in lookbacks, and those don't trade retail.
And yeah, I use binary.com for pricing for work when I don't have access to the pricing server; trading when mobile, VPN, etc. The markets are wider on binary.com, but I get a fair value indication and an adequate indication of skew.
My largest positions are in lookbacks, and those don't trade retail.
And yeah, I use binary.com for pricing for work when I don't have access to the pricing server; trading when mobile, VPN, etc. The markets are wider on binary.com, but I get a fair value indication and an adequate indication of skew.
Carry on..
ISDA-netted swaps, liquidity arbs in the Jap session, vol of vol, OTC 1st gen knockouts on FX and equity indices ((no)touches, DNTs), 25-delta risk-reversal indications (skew curvature in $), vol-exposure in deep ITM markets (all-delta), 90D SPX call at 18% reflects less than $1 in premium at 30-days...
...let's start with the fact that your name is poopie and work our way backwards.
