your goal is to short ABC, but you long ABC and short a correlated XYZ, so that you can sell ABC? Show a numerical example of trades and PL?
Japanese daytrading for foreigners
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What are you talking about?
A) you hold long all 225 names in Nikkei and short the future (you weigh the positions in order to be as negatively correlated as possible)
B) you long sell any of your long holdings during the day and buy them back before market close. All pnl attributions in this go to your intraday strategy.
Which part of this is so hard to understand?
A) you hold long all 225 names in Nikkei and short the future (you weigh the positions in order to be as negatively correlated as possible)
B) you long sell any of your long holdings during the day and buy them back before market close. All pnl attributions in this go to your intraday strategy.
Which part of this is so hard to understand?
that sounds like basis trading (index arb) to me more than stat arb
my apologies, I was sleeping, of course I was referring to index arb. My apologies
Then it is total nonsense, as index trading involves too many legs for too thin margins for a retail trader subject to full commission.
So forget the nonsense, if you can't short a stock, then you just can't short a stock.
you can create a bespoke index that still highly correlates with an index future. Or you can choose a sub index whose futures are listed and traded:
http://www.jpx.co.jp/english/derivatives/products/domestic/topix-core30futures/index.html
or the bank index.
You do not need to re-balance all too frequently. Before you resort something to nonsense how about first understanding the options available? I apologize for the earlier mix-up but I think you could at least hold your horses and look at the available options.
http://www.jpx.co.jp/english/derivatives/products/domestic/topix-core30futures/index.html
or the bank index.
You do not need to re-balance all too frequently. Before you resort something to nonsense how about first understanding the options available? I apologize for the earlier mix-up but I think you could at least hold your horses and look at the available options.
That is still nonsense as it will have nothing to do with shorting a stock. The whole using index arb to short a stock is nonsense for the OP to begin with, as a non-shortable stock is unlikely to be traded in a basis strategy anyways. Hence, if you can't short a stock, you can't. stop digressing.
I think you are confusing something in major ways here.
One cannot short a stock if there is a short-sell restriction. That can be imposed by a regulator. Another reason one cannot short a stock is that one cannot locate inventory to borrow. Anyone who is holding a stock from the long side can sell such stock. Anyone can also buy a stock. When you hold a short index futures position and long the basket of constituents then you can long sell any of the constituents without being subject to short-sell restrictions or having to locate a borrow. You simply buy back the shares intra-day and your index arb book remains unaltered. The realized pnl impact must of course be allocated to your intraday trading strategy, not the index arb book. Which part are you struggling with? Could you please explain where you think I am digressing or wrong? I would like to understand which part you have difficulties comprehending.
One cannot short a stock if there is a short-sell restriction. That can be imposed by a regulator. Another reason one cannot short a stock is that one cannot locate inventory to borrow. Anyone who is holding a stock from the long side can sell such stock. Anyone can also buy a stock. When you hold a short index futures position and long the basket of constituents then you can long sell any of the constituents without being subject to short-sell restrictions or having to locate a borrow. You simply buy back the shares intra-day and your index arb book remains unaltered. The realized pnl impact must of course be allocated to your intraday trading strategy, not the index arb book. Which part are you struggling with? Could you please explain where you think I am digressing or wrong? I would like to understand which part you have difficulties comprehending.
I have been active in Japan for many years. Nobody ever asked about index arb, so nobody is interested in what you have been saying, which I think is impossible to implement for a retail trader.
You are an idiot. You could not refute any of the point i made yet tried to shoot me down multiple times. If you had read carefully then you would have realized that I simply brought up a proof that even with short sell restrictions in place one can employ a long /short strategy. I never directly recommended it to OP as option. I simply proved your weird points as being factually incorrect. I am not interested in your crap anymore so let's agree to disagree. If you cannot even argue on a logical level then you are not worth my time.
PS. I have equally worked for many years as professional at banks in Tokyo. So please don't pretend you being some sort of hotshot.
PS. I have equally worked for many years as professional at banks in Tokyo. So please don't pretend you being some sort of hotshot.