I solved for the gain on the remainder to the barrier so I don't lose anything from current mark to the barrier ($30K on spot; ($30K) on barrier).
I plan on shorting 20MM (against notional, not prem) in the 1.31 vanilla puts out to October on Monday. Opportunity gains resulting in one fat synthetic straddle.
Yep I figured that from the way you used to trade the DNT/NT's in FX. So you picked that strike and payout with this in mind (from your average price at 1.3321)?
Because I know it used to be you traded the DNT/NTs then solved for spot, but this is a different situation.
I didn't as this was a straight spec initially and I was only interested in doubling the carry (in the barriers). I didn't want to invert on any significant portion and be net long delta in USD. I do plan on shorting the synthetic combo on the way down. ALL the way down. bc you know, that's how you know.
Well that was edge in vol in which I'd solve not for local delta but for recovering half of the loss on the barrier touch.
I am pulling it from my watchlist until Friday's settle. I have no risk in the position. I gotta focus on eq-vol. But please, all you hero longs, discuss...
Right, it was to cover the swap. This is technical. Right... I forgot it was half of the loss on the touch. It's been awhile and I didn't really get to play them myself much. Just as I was getting into it, the boxes magically vanished from Oanda. lol