Oil and Gold ETF"s ???

Quote from SethArb:

if this SEC doc. is correct ... then would approx 528 USO = 1 QM ?

( QM = 1/2 size crude oil contract on nymex )

-As of May 18, 2006, USOF had 3,500,000 outstanding units. At that time, USOF owned 3,316 light, sweet crude oil futures contracts, which had a market value as of the close of trading that day of $232,584,240. USOF maintained cash deposits at USOF's custodian bank and margin with USOF's futures commission merchant in an aggregate amount of $232,796,908-
More...

QM underlying is 500 barrels of oil. At $70.025 per barrel, these 500 barrels have a value of $35,012.50.

For various reasons USO can't and doesn't represent any specific amount of oil. It is constructed so that the _percentage change_ in the price of USO will track that of crude futures. The actual price of USO will eventually drift further and further from the price of crude as the front month futures contract price jumps at rollover but USO does not.

The equivalent position to a QM contract is $35,012.50 in USO shares. At a price of $66.74 this amounts to 525 shares.

This is surprisingly close to the 528 you calculated by a very different route, SethArb. I guess we confirmed that the managers of USO have the correct number of futures contracts! :)

But for future reference, to quickly find the equivalent position:

shares of USO equiv to 1 QM = P x 500 / USO

where P is the front month crude price and USO is the USO share price.

Aaron Schindler
Schindler Trading
 
Would someone like to tackle the SLV fair value calculation?

I've been watching it vs the near month futures but the differential is not stable, leading me to believe the relationship is a bit more complex than 10 ounces +/- some amount.

Does it track futures, spot, or what?
 
Quote from stock777:

Would someone like to tackle the SLV fair value calculation?

I've been watching it vs the near month futures but the differential is not stable, leading me to believe the relationship is a bit more complex than 10 ounces +/- some amount.

Does it track futures, spot, or what?
More...

SLV tracks spot minus management fees. Obviously it won't track perfectly every second. Just like SPY doesn't track perfectly the SPX.

SLV.....The objective of the investment is to reflect the price of silver owned by the trust less the trust's expenses and liabilities. The fund is intended to constitute a simple and cost-effective means of making an investment similar to an investment in silver. Although the fund is not the exact equivalent of an investment in silver, they provide investors with an alternative that allows a level of participation in the silver market through the securities market.
 
I was tracking it vs the near futures, and the differental was high, then low, maybe because of the 10x leverage vs the contract.
 
Quote from ssptrading:

Dow = DIA
S and P = SPY
Naz = QQQQ

Oil = ?

Gold = ?

Russell = ?


Thanks:)
More...
Russells'

IWB RUS 1000 INDX AMEX Large Blend
IWC RUS MICROCAP
IWD RUS 1000 VALU AMEX Large Value
IWF RUS 1000 GROW AMEX Large Growth
IWM RUS 2000 INDX AMEX Small Blend
IWN RUS 2000 VALU AMEX Small Value
IWO RUS 2000 GROW AMEX Small Growth
IWP RS MC GR INDX AMEX Mid-Cap Growth
IWR RUS MC INDX AMEX Mid-Cap Blend
IWS RS MC VAL FD AMEX Mid-Cap Value
IWV RUS 3000 INDX AMEX Large Blend
IWW RUS 3000 VALU AMEX Large Value
IWZ RUS 3000 GROW AMEX Large Growth

http://finance.yahoo.com/etf

http://finance.yahoo.com/lookup?s=Russell&t=E&m=US&r=1

http://finance.yahoo.com/etf/browser/mkt?c=0&k=5&f=0&cs=1&ce=248&o=a
 
You must log in or register to reply here.
Back
Top