Short 2x & 3x ETF's, and hopefully, make money

moneymaker

It is sometimes mentioned that the Ultra/Ultrashorts have slippage. The slippage is due to these ETF's being tied to 'daily' moves in the underlying.

Consider the following example of slippage.

On October 1, 2008, S&P500 was 1,161.06.

SSO (2x Ultra) was 49.25.
SDS (2x Ultrashort) was 69.77.

Let's say you had $100,000. And you put half in SSO and half in SDS.

1,015 shares of SSO
716 shares of SDS

Today, SSO is 24.68 and SDS was 88.84.

1015 x 24.68 = 25,050.2
716 x 88.84 = 63,609.44
TOTAL = $88,659.64

I chose October 1st, 2008 because neither SSO nor SDS have paid any dividends since then.

That is a loss of -$11,340.36. Or -11.34% due to slippage in just two months. Even though you owned both SSO and SDS in equal dollar amounts and therefore, neither long nor short, you lost money due to the slippage.

That means that you could probably make money by shorting both the Ultra and the Ultrashort, and wait it out long-term, but only if you can stomach the volatility and paper-losses due to the wild swings.

One thing is for sure, these Ultras/Ultrashorts are not suitable for long-term holds!

It'll probably be even more profitable shorting both sides of the 3x ETF's but very dangerous!

The other reason is because these ETF's have high expense ratios which just makes the slippage worse.

小咪

原帖由 moneymaker 于 2008-12-18 21:43 发表 It is sometimes mentioned that the Ultra/Ultrashorts have slippage. The slippage is due to these ETF's being tied to 'daily' moves in the underlying.Consider the following example of slippage.On Oct ...

noob

I remember someone said you won't be able to short those ETFs. I am not sure though. Can anyone confirm?

moneymaker

Today I shorted SDS, and covered later.  So I did not gain from slippage.

ddwrt

大家千万别用这个方法。看一看dxo和dto就知道了。如果同时short 这两个，裤子早就没了。

firecs

What is your definition on slippage? THanks

moneymaker

原帖由 firecs 于 2008-12-18 22:08 发表 What is your definition on slippage? THanks

If you have read all of my post, you will get an idea about what slippage means.

moneymaker

原帖由 ddwrt 于 2008-12-18 22:06 发表 大家千万别用这个方法。看一看dxo和dto就知道了。如果同时short 这两个，裤子早就没了。

I have not done a thorough research on all possible 2x and 3x ETF's.  But, some do work.  For example, those traded on TSE: HED/HEU.  In the long run (this may take quite some time), I guess, eventually, DXO/DTO might work.

投资人

这个华尔街的滑头们早就想到了.  可惜我们不能SHORT 这些 ETF.  如果你有方法能, 可千万要告知啊. 这种无风险的买卖当然要做!

ddwrt

原帖由 moneymaker 于 2008-12-18 22:21 发表 I have not done a thorough research on all possible 2x and 3x ETF's.  But, some do work.  For example, those traded on TSE: HED/HEU.  In the long run (this may take quite some time), I ...

我模拟过，如果是猪市，2x或3x的晃来晃去价格减的厉害，你这样做或许可以赚点小钱。如果碰上熊市或牛市，特别是那些一路涨或一路跌的，麻烦就来了。因为你不可能长期持有，你一定会被margin call，然后输个精光。

dreamer

我也想过， 可not always working似的。
比如九月初： SDS＝66， SSO＝60。
假定各short 100。 那就是6600＋6000＝12600本金。
可是到十一月底SPY大跌时SDS一度到133， 单单SDS就比本金多了， 而那时SSO还是15多， 就是亏了近两千。
到今天是赚了：SDS＝83，SSO＝26， 也就是10600。

我的结论是SP如果和你起始点变化不是太大的话，是的，你这个方法很好，肯定赚。
可如果SPY变化极大的话，这个方法是不行的，因为其中一个就可以翻倍。

其实这应该可以归纳成两变量的公式，SPY的变化和cost 。 [ 本帖最后由 dreamer 于 2008-12-18 22:32 编辑 ]

soulvirus

偶最近一直在关注这个问题。就是说，不管是那个2x，3x，如果到了200－300块，偶觉得short的风险很小，利润很高。当然舱位比例一定要小。 至于long的话，如果股市波动很大，有搞头。猪市则完蛋。

jcp

Not always working, even though you can short both of them

For example:

SSO SDS

March 29 2008 open 65.08 61.18

May 19 2008 close 76.55 51.29

10,000 purchase end up with 11762.45 8383.46

total would be 20145.91

Therefore, if you short both, you will lose $145.91 from March 29 to May 19, between which no dividend was paid.

There is no FREE lunch, forget it.

xiaobailong

同时short两个不划算，就算能赚，能超过CD吗？当然现在利率低，超过CD的机会比较大一些，以前利率高的时候，真是不值得呢。

CoolMax

原帖由 xiaobailong 于 2008-12-18 11:06 PM 发表 同时short两个不划算，就算能赚，能超过CD吗？当然现在利率低，超过CD的机会比较大一些，以前利率高的时候，真是不值得呢。

 

还不如我以前Long AAPL，Short RIMM呢？

不到一年就翻倍了。

 

看这里：

 

[ 本帖最后由 CoolMax 于 2008-12-18 23:11 编辑 ]

moneymaker

For those Canadian ETF's (Horizons BetaPro series), for example, HGD/HGU, work quite well.

ppteam

try FAS/FAZ, both of them are excited, but not good to hold for long period.

egghead1

DXO and DTO are not ETFs. They are ETNs. So anything can happen.

I think this is a good strategy. The premise is that you have to leave enough room in case the market moves in trend for a long time. So it's safer to short relatively low vol ultra ETFS like SSO, SDS, QLD, QID since those are broad market ETFs. To do it on sector ultra ETFs like SKF is more dangerous because those things move really fast when the market gets into a free fall.