06/29/2011 白天灌水

revolver

老黄 发表于 2011-6-29 12:49
预示着dividend大约0.5%

这个问题值得讨论一下，事实上应该开专帖于与邻居们分享。

很多人知道外汇期货的Backwardation反映了两种货币间的无风险利率差。比如说现在欧元利率高于美元，所以EC的价格就呈现Backwardation。可是对于ES,难道也可以这样解释么？请注意ES可是风险性资产，不存在无风险收益的概念。

9号胡同

lite1067

revolver 发表于 2011-6-29 20:19
这个问题值得讨论一下，事实上应该开专帖于与邻居们分享。

很多人知道外汇期货的Backwardation反映了两 ...

手枪原来不是科班出身。看你以前聊FA一套一套很NB的说。老黄也忽略了三个月的financing cost, 现在虽然很低，但是也不是零.

revolver

lite1067 发表于 2011-6-29 22:56
手枪原来不是科班出身。看你以前聊FA一套一套很NB的说。老黄也忽略了三个月的financing cost, 现在虽然 ...

我是社会大学出身。

科班的解释怎样？愿闻其详。

lite1067

revolver 发表于 2011-6-29 23:02
我是社会大学出身。

科班的解释怎样？愿闻其详。

the following article explains it very clearly. sorry to say it, but it is finance 111. 当然了，书本知识越多越反动。老大你原来用铁路运力来预测宏观经济还是挺NB的。我没记错吧。

http://seekingalpha.com/article/ ... aka-index-arbitrage

revolver

lite1067 发表于 2011-6-29 23:17
the following article explains it very clearly. sorry to say it, but it is finance 111. 当然了， ...

多谢分享，不过我并不认同。

(ESM1) + Carry = (SPX) + Dividends

以上等式实际上是不成立的，因为Dividends不是risk-FREE的。指数的现货价格、期货价格是已知的RISKLESS，CARRY可以认为是贷款的成本因而RISKLESS，但分红是未知的。

lite1067

revolver 发表于 2011-6-29 23:51
多谢分享，不过我并不认同。

dividend is estimated..

老黄

lite1067 发表于 2011-6-29 22:56
手枪原来不是科班出身。看你以前聊FA一套一套很NB的说。老黄也忽略了三个月的financing cost, 现在虽然 ...

你怎么知道偶忽略了

revolver

lite1067 发表于 2011-6-29 23:17
the following article explains it very clearly. sorry to say it, but it is finance 111. 当然了， ...

如果要从ARBITRAGE的角度分析，应该计算股票借出的成本。

SPX-ESU11=BORROWING_COST_for_3_Months

老黄

revolver 发表于 2011-6-29 20:19
这个问题值得讨论一下，事实上应该开专帖于与邻居们分享。

很多人知道外汇期货的Backwardation反映了两 ...

SPX的dividend基本上是可以准确估计的

revolver

lite1067 发表于 2011-6-30 00:01
dividend is estimated..

That doesn't stand. There must be 'risk' variables on both sides of the equation.

revolver

回复 老黄 的帖子

不对吧。

http://www.multpl.com/s-p-500-dividend-yield/

Even it's 'Beta', it comes with a significant standard deviation.

lite1067

revolver 发表于 2011-6-30 00:12
That doesn't stand. There must be 'risk' variables on both sides of the equation.

老大，S&P500 中间dividend paying companies are limited and with fixed dividend paying schedule. quarter dividends are normally very stable.. even if you use the dividend of last Q to estimate this Q, the error will be very small under normal situation.

老大，index arbitrage 是大户们with extremely low financing cost干的。咱们还是看图用TA哈。

老黄

revolver 发表于 2011-6-30 00:12
That doesn't stand. There must be 'risk' variables on both sides of the equation.

what risk? risk of wrong estimation?

consider a portfolio with 1 ES and short of SPY in equal nominal amount

this portfolio should only return risk free rate of the maintenance margin.

老黄

revolver 发表于 2011-6-30 00:16
回复 老黄 的帖子

不对吧。

dividend yield changes mainly because the price changes.

the dividend amount is quite stable

plus many dividends are pre-announced.

水明善

ctcld  水里抓鱼哪有满地舔草来得EASY
是啊，春天了，吃草去，不抓鱼了。

revolver

lite1067 发表于 2011-6-30 00:19
老大，S&P500 中间dividend paying companies are limited and with fixed dividend paying schedule.  ...

Estimated number can never be fixed, there will always distributions, means & deviations.

Honestly I don't think there is a risk-free arbitrage opportunity for equity index. And if any institution is doing that way, they definitely are doing that for risk-free.

revolver

老黄 发表于 2011-6-30 00:20
what risk? risk of wrong estimation?

consider a portfolio with 1 ES and short of SPY in equal n ...

Well, not exactly. As I said it actually reflects the borrowing cost of SPX. And from the currently future chain prices for ES, you can see it's around 0.5% for 3 months which is much higher than risk-free rate.

revolver

老黄 发表于 2011-6-30 00:31
dividend yield changes mainly because the price changes.

the dividend amount is quite stable

Again the key here is the yield but not the amount.

老黄

well, you should trust me on this, I have been trading those for a long long time.

Do you know that ESU11 was nearly 1% off SPY the day before June OE?
explain that