Sorry....The stock number in your replication question? Is that it? Is that you question? If so... I'm not into classical replication the returns these days are so minuscule at these VOL levels that I ignore it almost all of the time however this a guess and only a guess only maybe the first 80 or 90 names will probably encompass at least %90-95 of all the SPOOS. But that's hardly my concern. That's academic nonsense.... I'm looking for traders who have moved beyond that a just a bit.
I am not interested in working for you so lets dismiss that. Have fun crossing 80 to 90 stocks to replicate the index. Okay you can return to your over the top arrogance. Quite frankly I find it amusing that you come across so smug and at the same time believe youâre going to find a qualified person on an anonymous web board. Have a nice weekend!
That's what i was thinking at first. About 275 stocks if that's true. http://www.indexarb.com/indexComponentWtsSP500.html I'm guessing in reality it's possible to get by with a lot less maybe the top 100 by mkt cap.
The problem with 275 is massive friction and slippage. Unless one operates from their own dark pool. But anyway...I don't care about all that anymore. Just a fish hook thrown out...came up emtpy. That's cool.
Listen cvds, you flaming Flemish fomenter: a fair value delta discount is more a function of 1) relatively low short term rates and 2) fewer days remaining to expiration which correspondingly decreases the interest component. A discount scenario typically is more about the interest than the dividends. If you are going to be insulting, it is better to be correct. Otherwise you look like, I believe your term is, a fucking moron or clueless retard. a haiku for cvds: momma always said if you live in a glass house better not throw stones