Since these pairs have an inverse leverage relationship you would buy/buy or sell/sell, not buy/sell etc. The goal is to have zero exposure to the...
Yes you definitely can. It is commonly called ETF arbitrage and very competitive and requires high frequency trading infrastructure.
I believe most exchanges support routable and non-routable orders. In the case that a non-routable order being filled violates Reg. NMS, the order...
Most VIX products rebalance daily at the VIX futures settlement time. You would need to adjust the quantity to maintain the 0 exposure condition....
Instead of dealing with options and all the various sources of piece movement associated to them, you can simply buy and long leverage VIX ETF of...
Let's assume the quotes are from market makers. Most market makers have roughly the same process to build quotes for an option: 1. Look at the...
If youre making UVXY options then you're probably hedging delta, so you wouldnt really need to model where the underlying will be in a year or two.
- The "decay" which is cause by the daily replication might need to be accounted for in the forward price. - It also means one can hedge into...
The NAV of UVXY (1.5 levered) at time t is roughly : NAV(t) = NAV(t-1) * ( 1 + 1.5 * IDX(t)) Where IDX(t) is the return from t-1 to t of the...
See how you feel after backtesting a strategy on a day's worth of raw NASDAQ feed. OP, I use pandas extensively for backtesting and it certianly...
UNG at most times of the month is an exact hedge. Look at the roll schedule to find the appropriate weights. Can also use NG futures equivalently.
DGAZ is inverse levered to the same index as UGAZ. Just sell a notionally equivalent amount of DGAZ.
Robert makes several good points. I'll add that since VXXB is an ETN, it tracks the rolling futures index exactly. Replication by futures may/will...
To answer the question of how to get ratios that leave you flat in one or more of the principal components, imagine the following. Let A be a...
Most early redemption procedures state that the note will be redeemed at a given NAV (see prospectus for how the NAV will be computed). So a short...
To add some more info - you may already by aware of these facts: - ETNs have a formula which dictates their NAV and do not actually hold any...
Institutional traders have: - better capitalization - better technology and market access - ability to execute on razor thin margins - ability...
If you take the strip of SPX options being used in the VIX index calculation, you can derive a real time value for VIX. The futures are obviously...
Probably a bit late to this thread, but XIV is not hence it does not hold futures. Credit Suise had a fairly complicated arrangement in which...
It's probably not an easy ETN to create. At this deviation from NAV you'd expect to start seeing the share outstanding increase until the...
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