Jennifer Jameson is an analist at ATM Hedge Funds. One of the funds currently hold crude oil barrels in offshore tankers. Looking at the price of gasoline, she is concerned that her crack spread is too tight. “I’m used to having a wide crack spread”, Jameson proclaims. Concerned, she contacts Coby Thai, CFA, who is a former colleague now working at Beau Cockey Investments. Jameson expresses her desire to hedge her crude oil risks possibly with Thai’s department. Instead, Thai proposes to her that they enter into a swap. “I’ve been holding too many share of Seimens. I need to dump some but I’d rather swap exposure with your holdings in EAS, which is a leading producer of protein shakes.” Jameson agrees. Later on, Jameson has the bright idea of having a 3-way swap with another former colleague residing Mexico, Tracy Lourdes. She calls Lourdes on her lunch break and proposes trading her new exposure in Siemens with one of her currency holdings. Lourdes says, “how about my holdings in Vietnamese Dong?” Jameson hesitates as she remembers the last time she held Dongs the value shrunk. However, she realizes that she’s having “rigid” views and that it may provide a better hedge so agrees. Lourdes finishes her taco and sets up the swap. At the end of the day Jameson is exhausted so she masturbates.
A?
what, no strip hedge? no up/down market oscillation? excellent post, slash. +2.
HAha
How about them butterfly spreads and staddles? Where do they fit in this question?
Giggedy
What would be a valid benchmark for performance attribution in this case?
This is by farrrrrr the best post i’ve read this week 
You couldn’t have fit a box spread in there somewhere? (That’s what she said…) But seriously, great post. I think I had forgotten how to laugh the past couple of weeks until I read this.
You forgot to address duration, premature payoffs and potential liquidity risks to the assets
…um a bit of a sensitive issue for some, but shrinkage estimators come to mind. What? I was in the pool, the water was cold!
At least we’re past dealing with asset impairment!
The Jennifer Jameson adventures continues… It is now 3 months later and Jameson is up for a promotion at ATM due to her profitable swap. Thai on the other hand, has lost millions for her firm. “I’m going to be looking for a new job as of next week”, Thai says over the phone to Jameson. Feeling guilty, Jameson informs Thai that ATM is looking for some new analists. “I could set you up with the department manager Ronald Jeremy”, she says. Thai is ecstatic as she never really liked working at Beau Cocky Investments in the first place. “There are too many men working at Beau Cocky and I’m constantly surrounded by them”, Thai complains. Jameson refers Thai to Jeremy. The following week Thai meets with Jeremy for an interview. Jeremy decides to test her knowledge. “I want you to perform a strip hedge”, Jeremy asks. "If you can do it I may put you on board. Jeremy closes his office door and Thai begins. Meanwhile, Jameson is finishing up some last touches on her options modeling program. Petey North, a co-worker, asks how it works. “It’s basically a modification of a traditional butterfly spread with 2 short calls in the middle”, Jameson explains. “Instead of 2 calls I like to fit maybe 3 or 4 in middle. I have my exit point planned precisely at $69.” North looks at Jameson’s coding and is quite excited. He decides insert his liquid funds from his personal bank account into Jameson’s derivatives trading account to get in on the profits. As the stock is ripping Jameson yells, “$69 has hit, you must pull out. It’s my exit!” “Your exit?” North asks. “Not today it isn’t hun.” Soon the buzz hits the office floor and there are 12 co-workers surrounding Jameson’s little terminal. One by one they deposit their money into Jameson’s black box program. Jenna eventually grows tired and decides to visit Jeremy to see how Thai did in her interview.
*Watches a dust bunny roll by* Tough crowd haha
http://www.analystforum.com/phorums/read.php?12,974240,974240#msg-974240 By far one of the funniest posts I’ve read. You’re on the L2 wall of fame.
hahahaha …what no mention of crack spread ? Slash - you need to post this in GD
Slash Wrote: ------------------------------------------------------- > Jennifer Jameson is an analist at ATM Hedge Funds. > One of the funds currently hold crude oil barrels > in offshore tankers. Looking at the price of > gasoline, she is concerned that her crack spread > is too tight. “I’m used to having a wide crack > spread”, Jameson proclaims. Concerned, she > contacts Coby Thai, CFA, who is a former colleague > now working at Beau Cockey Investments. Jameson > expresses her desire to hedge her crude oil risks > possibly with Thai’s department. Instead, Thai > proposes to her that they enter into a swap. “I’ve > been holding too many share of Seimens. I need to > dump some but I’d rather swap exposure with your > holdings in EAS, which is a leading producer of > protein shakes.” Jameson agrees. > > Later on, Jameson has the bright idea of having a > 3-way swap with another former colleague residing > Mexico, Tracy Lourdes. She calls Lourdes on her > lunch break and proposes trading her new exposure > in Siemens with one of her currency holdings. > Lourdes says, “how about my holdings in Vietnamese > Dong?” Jameson hesitates as she remembers the last > time she held Dongs the value shrunk. However, she > realizes that she’s having “rigid” views and that > it may provide a better hedge so agrees. Lourdes > finishes her taco and sets up the swap. > > At the end of the day Jameson is exhausted so she > masturbates. Darn, you are so smart and you cannot past that thing. So you should go and replace J Leno. Oh wait, this is for high scale financial gig.
Slash, you’re definitely talented. Part II of JJ was hilarious! Almost better than the real thing (even in high def).
Haha glad you guys liked it. I will think of a finale
And the chronicles continue… “How did she do?” Jameson asks. “Well I asked her to perform a strip hedge”, Jeremy explains. “I may call her in again but it took her 20 minutes just to get half way through. Plus she had bad breath. However, I think I’ll have her work under me. Anyway, I wanted to talk to you about that sausage company that you’re currently researching, Woody Johnson Bratwursts.” “Yes they’re a very profitable subsidiary of one of the largest food services company in the world”, Jameson explains. “They’ve figured out how to eliminate substantial nitrites in their smoking process to make them carcinogenic-free. They’re also quite big in Jamaica and I had the pleasure of trying many on my last vacation there. Using the mosaic theory, I am anticipating a large stock movement either way.” She decides to set up a long straddle and shouts, “Whichever way it goes, I’m going to get a payoff from this straddle.” Jeremy is a little confused at how much of an expert she already is in the sausage industry. He says, “You never told me about trying so many before”. Jameson replies, “I’m a woman and women are sensitive about revealing their diets. In addition, I had it on my vacation so I always omit it when someone asks.” Jameson continues with her research on Woody Johnson’s financial statements. She’s a little puzzled at how profitable the company is. Woody Johnson has almost no debt, very little expenses, and immense profits. “There’s something fishy about this company”, Jameson whispers to herself. “I can’t quite put my finger in it- I mean on it, but I’ll find out.“ She opts to work late so she could further examine and probe the company’s assets. Eureka. After spending the entire night researching, she discovers that Woody Johnson has been partaking in fraudulent accounting practices. They’ve been setting up dozens of offshore entities to hide losses and record fictitious revenue: Swaps have been valued using anticipated profits; premiums from the sale of naked calls were recorded while billions in losses on the underlying were hidden; failure to recognize asset impairments and almost every other shenanigan one can think of. The next day Jameson calls the chief compliance officer, Debbie in the Dallas office. She explains her findings and sends the full report. Debbie says, “I assume you took both a top-down and bottoms-up approach to this. if you what you say is true you’re going to be responsible for uncovering one of the biggest scandals ever. I will contact you next week.” Too be continued!