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Nym

Registered: May 2012
Posts: 117

07-23-12 06:12 PM

I am reporting here a discussion that has been initiated in another thread. I do not want to mess the other discussion with this "lateral issue "

Is it possible to replicate the buy and hold strategy with the Futures?

One of our fellow suggested the following:

"The only way I can think of replicating this strategy is by rolling over every three months. Not exactly the most exciting prospect."

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Nym

Registered: May 2012
Posts: 117

08-12-12 03:24 PM

not exactly the answer but some useful material:

http://www.eurexchange.com/download...ond_futures.pdf

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oldtime

Registered: Jun 2011
Posts: 7479

08-12-12 03:34 PM

we had this same conversation about SPY vs ES longterm. The general consensus was SPY was better. You would think it would be the other way, considering the margin, but that doesn't seem to be the case all things considered. Not sure if it's as simple as putting up a chart of ZN vs BND, you'd need a calculator in there somewhere. OK, that's all I know, I'll leave it now up to more knowledgable posters.

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Martinghoul

Registered: Jan 2009
Posts: 5641

08-14-12 08:51 PM

Quote from Nym:

I am reporting here a discussion that has been initiated in another thread. I do not want to mess the other discussion with this "lateral issue "

Is it possible to replicate the buy and hold strategy with the Futures?

One of our fellow suggested the following:

"The only way I can think of replicating this strategy is by rolling over every three months. Not exactly the most exciting prospect."

Buy and hold what? Yes, you can implement the buy and hold strategy for futures by buying and holding futures, but something tells me you knew this already.

If you're talking about buy and hold in the context of what's classically known as a "cash-and-carry" trade, then the answer is no. You can't do it without actually physically buying and holding the asset. The physical act of buying and holding is significant in this particular case.

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Nym

Registered: May 2012
Posts: 117

08-14-12 11:09 PM

mmmm I think that I got it (thanks). A couple of follow up questions:

a) let's assume that I buy in september a future with delivery december. Let's also assume that I will sell it just before the settlement. What will I earn (or loose)? Will I earn something for holding the future for 3 months?

b) Can I implement the cash and carry strategy using options?

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oldtime

Registered: Jun 2011
Posts: 7479

08-14-12 11:29 PM

Quote from Nym:

mmmm I think that I got it (thanks). A couple of follow up questions:

a) let's assume that I buy in september a future with delivery december. Let's also assume that I will sell it just before the settlement. What will I earn (or loose)? Will I earn something for holding the future for 3 months?

b) Can I implement the cash and carry strategy using options?

if you buy in SEP and sell in DEC you will either make or lose the difference between your purchase price and your sale price. That's all, nothing more.

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