Search results

No. Let me try a different approach. Let's change Schiff's name to Al Gore. And let's change the Fed to the environment. Al has been screaming that the sky is falling for a very long time. In fact I do believe he said NY would be under water shortly. He basically said it's too late, we're...

I agree. The retail trader mentality is to understate risk. Trading is hard, I think we all know that. But we don't all accept it. The main tool the retail trader has to overcome the mathematical and quantitative obstacles to successful trading is leverage. It's the only tool they have so...

I don't know how reliable this post is but this guy claims the lending rate at IB for UVXY was 15% as recent as last year. https://www.reddit.com/r/TradingForAdults/comments/3dk163/trading_the_vix_perpetual_short_edition/ I know that's not VXX but I seem to recall very high lending rates on...

When asking for help, gratitude and appreciation usually offers nice dividends (pun intended). Getting historical dividend data should not be that terribly difficult. Are you saying a simple google search turned up no results? http://www.dividend.com/dividend-history/

That number changes a lot. But sure, if one can get a locate and attractive rates I'm indifferent to VXX or XIV. I wasn't making a stock recommendation, I was posing the question if one simply wants to sell vol, there might be a better way to do it then then making 20 to 40 transactions per...

You do know that ES and SPX have completely different option settlement procedures right if we are talking about options since obviously you can't hold SPX cash.

You do realize how little 7 pts is right? It's 32 bps. How exactly are you trying to exploit this again? Honestly man, I have no idea what you are trying to do. Maybe if you explained what you are seeing here and how you are trying to exploit it, it might help in finding where the error is...

Is that the general borrow rate or the specific rate for that ETF. Different stocks have different borrow rates. I seem to recall in the past it was north of 10% but that number moves up and down as shares become harder to locate.

No, the prices would not match. If you paid out all the dividends today the SPX would trade at a premium since those dividends would be re-invested today and earn the index return from now till expiration.

The short interest rate on VXX is usually very high and it's also often hard to borrow.

Piezoe, you need to remove your political orthodoxy from the equation. Schiff is neither right nor wrong. Same with the Fed. The difference is the arguments they are making are on different time frames. Analogous to me saying buy AAPL! Nitro saying Sell AAPL! I'm buying AAPL for a .10...

Well, a few things here. Dividends do change, often in fact. So that uncertainty has to be factored in. Second, when a dividend is paid out, are you properly accounting for the fact that you can "re-invest" that cash flow back into the S&P? So let's call SPX cash. If one is selling SPX...

I think there are two things here. Short term pricing is based on the no arbitrage principle and to that I think we all agree. My post above is more of a long term expected return model that is very broad and obviously debatable. I'm not sure what the short term debate is either. I think all...

Sig, both SPX and ES discount dividends proportionally to time. Only SPY ETF pulls them out in present time.

It should be pointed out that the stocks that make up the s&p 500 are also properly discounted to reflect their future cash flows. This might be where the confusion lies. The price of AAPL today is reflecting it's future growth and cash flows. So when we add AAPL to the index along with all...

Oh this sounds like fun....let me play. :) So the return of the index over the long term usually has 3 components: risk free rate, div cash flows, risk premium. I like to add the long term inflation rate to the risk free rate since I need to be compensated for that long term as an...

I've always thought the spread expresses the difference between "real growth" via the industrial metal silver and "monetary growth" via Gold. No, I don't expect the pair to be cointegrated and there is no reason it should be. I think this is more of a long term macro trade then a mean...

Do you know how they are doing the ratio? They really should be weighted by volatility and not notional contract value.

That is very good news.

I think you are over complicating this. Think of it this way: no one is speculating on the ES independent of it's underlying stocks. When one buys an ES future, they are not really betting on the ES but where the stocks of the ES are going. In your mind you are reducing this to a single...