FAZ/FAS math

Quote from m22au:

and shorting an inverse (short) equities ETF probably involves more risk than shorting a long ETF, because stocks generally crater faster than the rate at which they can climb
More...

Not sure if this has been asked...

But going long the FAZ.. or even Shorting an inverse leveraged short... how bad to you get banged on the dividends?
 
I made a fucking killing on these the first week they were issued and no one had an idea how to price them

I can't believe this thread has lasted this long.
I can look at the price action in tell you in 5 seconds that there is absolutely no even remotely neutral trades on these anymore.
 
What do you mean by "how to price them"?

From what I understand, you can find the fair value of the ETF by looking at the relevant symbol in Bloomberg. For this reason, I assume that any intraday movements away from fair value are quickly arbitraged, using the create / redeem process.


Quote from MIT_ALGO_TRADER:

I made a fucking killing on these the first week they were issued and no one had an idea how to price them

I can't believe this thread has lasted this long.
I can look at the price action in tell you in 5 seconds that there is absolutely no even remotely neutral trades on these anymore.
More...
 
You've been a member since 2002 m22au. How can you not understand a concept this simple, yet you have not blown out your account yet?
I ask this truthfully.

I will give you a hint if you insist that deviations away from fair value were quickly arbitraged as you claim they "must" have been.

Simple correlated facts:
High on FAZ: nov 20th, ~165
V on FAZ nov 20th: ~1.1m
V on FAZ yesterday ~230m
nov 20 DOW: ~7500
low DOW: ~6500

If this is not yet obvious to you, then I suggest you pull up the first week of FAS/FAZ and calculate beta.
 
Holy shit 16 pages of this. This is truly astonishing

I stopped reading after 3 posts, but I am just going to say that there are people a lot smarter than almost all of you who have already modeled this to make sure no "arbitrage" opportunities exist.

In truth FAZ/FAS is no different than any other pair strategy, but people jizz their pants just because it's 3x on something that just in the past few weeks people have been getting a SLIGHT idea for the fair value.

I can tell you that even though you may pick up a few pennies here and there it's probabilistically impossible for you to come out ahead if you make enough trades on either of these stocks.

You can think I'm a jerk, but you'll thank me for this 2nd grade wisdom someday.
 
Hey there MIT,
(I'm assuming that's what you'd like to be called since you put it in your name)
I've read a chunk of this thread and agree with you on the arbitrage opps...
What do you think happens to FAZ when the market truly rebounds?


Quote from MIT_ALGO_TRADER:

Holy shit 16 pages of this. This is truly astonishing

I stopped reading after 3 posts, but I am just going to say that there are people a lot smarter than almost all of you who have already modeled this to make sure no "arbitrage" opportunities exist.

In truth FAZ/FAS is no different than any other pair strategy, but people jizz their pants just because it's 3x on something that just in the past few weeks people have been getting a SLIGHT idea for the fair value.

I can tell you that even though you may pick up a few pennies here and there it's probabilistically impossible for you to come out ahead if you make enough trades on either of these stocks.

You can think I'm a jerk, but you'll thank me for this 2nd grade wisdom someday.
More...
 
Quote from MIT_ALGO_TRADER:

Holy shit 16 pages of this. This is truly astonishing .....


You can think I'm a jerk, but you'll thank me for this 2nd grade wisdom someday.
More...

dude, you just talked at least 1 grade over their heads.
 
Quote from MIT_ALGO_TRADER:

I made a fucking killing on these the first week they were issued and no one had an idea how to price them

I can't believe this thread has lasted this long.
I can look at the price action in tell you in 5 seconds that there is absolutely no even remotely neutral trades on these anymore.
More...

That's quite a claim. I guess even the Einsteins that underwrote them came to you for an explanation.
 
The short trade on these met my rule of 3 long ago.

As soon as I see 3 idiots say how easy it is, toss it or fade it.

I say go long both , you can't lose more than 100% of your money, which is less than most of you will lose trying to game it short.
 
You must log in or register to reply here.
Back
Top