capital at to calculate

Discussion in 'Prop Firms' started by borderbuck, Feb 11, 2010.

  1. This is a question for anyone pairtrading I guess, but maybe directed to Bright as I know they like this strategy a lot.

    If I go long 10 000 Pepsi at $61 and short 11,300 KO at 54 (give or take), how would a prop firm calculate the capital at risk.

    I am trying to reconcile in my head the amount of shares needed to be traded to hit desk rebate levels at prop I guess my bottom line is what size of pair trades are typically put on by someone at a place like Bright...thoughts are appreciated, thanks.
  2. number of shares * price. especially at a place like Bright I'd assume they don't really care.

    Also that's not a perfect hedge if that's what you were getting at.
  3. I never got any feedback from the thread on this, so I'll pose the question again here. Would a position as you describe be self-financing or is there a typical spread between the debit rate for long stock and the credit rate for short stock? For comparison, this position at IB would cost 1% or less to hold, even though it is theoretically free.

    As for your risk question, it would depend on whether they grade you on volatility or dollar-neutrality.