current prices:
short call .9950: 0.00497 +16.5
short put .9650: .01026 -43.9
Premium - current = pnl
.01245 - (0.00497+0.01026) = .01245 - .01523 = -27.7
Current Greeks:
Delta: 0.18
Gamma:-22.01
Theta: 67
Vega:-149
current spot rate: 97.13
Trying to understand where the loss is coming from...I am assuming its from volatility, but unsure.
Wednesday, March 30, 2011
Sunday, March 27, 2011
Short Strangle's and Reverse Gamma Scalping
Testing out an Idea...
Currently Sold a USD/CAD Apr 15 2011 strangle 0.9650-.9950 for premium of 124.9 pips.
Current Greeks:
delta: -0.3
gamma: -21.44
theta: 65
vega: -164
Break even points:
topside: 0.9950 + 124.9 = 1.00749
downside: .9650 - 124.9 = 0.95251
Currently Sold a USD/CAD Apr 15 2011 strangle 0.9650-.9950 for premium of 124.9 pips.
Current Greeks:
delta: -0.3
gamma: -21.44
theta: 65
vega: -164
Break even points:
topside: 0.9950 + 124.9 = 1.00749
downside: .9650 - 124.9 = 0.95251
Wednesday, March 16, 2011
update
edit: apparently as I wrote this, we got a 4.7 quake...didn't even notice...
so its been a up an down week.
Upside:
Bud Donny took his own money and flew to Japan to help out with the terrible aftermath of the earthquake.
downside:
Probably officially failed out of calculus, **RANT WARNING**
ok so every math course I have taken in my 2 year span at this university has given the tests out of 40. My current calc prof gives the tests out of 15, that means that if you get one small mistake wrong, you lose 1 mark, thus 6% of your test score. This is complete bullshit. The point of a test being out of 40 is so that you can give marks for the student knowing the process, and taking a mark off for incorrect processes. This has caused me to go from an A in calculus to a F. I have put effort into studying, and I know the material, I simply did several small errors and lost 6% for each.
The other thing is that the prof likes to throw complex rational curve balls. He will give you a complex rational function, and you would have to simplify before you do the actual calculus. The error behind this is that if you do the wrong simplification, you have the wrong calculus process, and you lose 6%.
So now I will probably not get into QME for September, and need to waste another year and another couple thousand dollars trying to get into this damn school.
ARGG...
Trading side of things:
I have been long USD this past little bit. I took half my positions ~+200, and closed the rest at breakeven on the spike from the earthquake. Currently reshorted euro at 1.3919. Looking for 1.34 or lower (1.32).
anyways,
All the best to the people of Japan and their families.
so its been a up an down week.
Upside:
Bud Donny took his own money and flew to Japan to help out with the terrible aftermath of the earthquake.
downside:
Probably officially failed out of calculus, **RANT WARNING**
ok so every math course I have taken in my 2 year span at this university has given the tests out of 40. My current calc prof gives the tests out of 15, that means that if you get one small mistake wrong, you lose 1 mark, thus 6% of your test score. This is complete bullshit. The point of a test being out of 40 is so that you can give marks for the student knowing the process, and taking a mark off for incorrect processes. This has caused me to go from an A in calculus to a F. I have put effort into studying, and I know the material, I simply did several small errors and lost 6% for each.
The other thing is that the prof likes to throw complex rational curve balls. He will give you a complex rational function, and you would have to simplify before you do the actual calculus. The error behind this is that if you do the wrong simplification, you have the wrong calculus process, and you lose 6%.
So now I will probably not get into QME for September, and need to waste another year and another couple thousand dollars trying to get into this damn school.
ARGG...
Trading side of things:
I have been long USD this past little bit. I took half my positions ~+200, and closed the rest at breakeven on the spike from the earthquake. Currently reshorted euro at 1.3919. Looking for 1.34 or lower (1.32).
anyways,
All the best to the people of Japan and their families.
Wednesday, March 2, 2011
Busy week!
Fighting off a cold, while studying for my Calculus and Linear Algebra tests...wooo.
Did a bit of reading via ISE's website and emailed a prof here at school to get a second opinion.
Boston for the weekend, Basketball game, hockey game, and shopping :)
Did a bit of reading via ISE's website and emailed a prof here at school to get a second opinion.
Boston for the weekend, Basketball game, hockey game, and shopping :)
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