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?
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.
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