Bashneft's prefs look like they should be taken - page 3

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prostotrader:

Not really. Nothing depends on the value of the asset.

It doesn't matter the value of it at all.

Profits are formed from the spread between the futures and the SPOT.

Dividends are also priced separately.

If there is a dividend, the spread is just counted differently.

Added

The beauty of this TS is that there are no drawdowns (losses) at all, only profits (more or less :) )

And, the profits are fixed when you buy (stocks) and when you sell (futures)

Added

Here is the oldest scheme of the strategy

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Unfortunately, this TS, has one drawback - you can not sell stocks and buy futures.

If, suddenly, shares decide to pay dividends, then in case we sell the stock (by us) we will be withheld from the dividends,

Because the shares have been sold :(

Well, these schemes are well known )) For example, the Eurodollar spot and similar futures. The spread is determined by the interest rate with gradual convergence. However, there is also dependence on the price. It is especially noticeable in the case of oil. If you found a spread that can be fixed in the money, without considering the price of the asset - that's something new to me. In any case, I have not seen such instruments on MOEX. Maybe, you do not take into account something? I just wonder why the rest of the world still doesn't trade this spread))

P.S. I was wondering if you practise HFT? Emissions are quite possible there.

 
rjurip1:

Well, these patterns are well known. For example, the Eurodollar spot and the similar futures. The spread is determined by the interest rate with a gradual convergence. However, there is also dependence on the price. It is especially noticeable in the case of oil. If you found a spread that can be fixed in the money, without considering the price of the asset - that's something new to me. In any case, I have not seen such instruments on MOEX. Maybe you do not take into account something? I just wonder why the rest of the world still doesn't trade this spread))

You are sorely mistaken.

Exactly the whole world is trading.

But the central bank rate in Japan (for example) = -0.1% what is there to gain?

There are simply no tools in the Russian market for this kind of trading.

Try manual trading in KVIC :)

I don't find anything (spread), robots do.

I have already explained everything in detail, if you

I explained it all in details. If you don't understand, search on the web for "futures price from SPOT".

and "value of futures at the time of expiration".

I'm sorry, but I have no desire to give an introductory lecture on the basics of exchange trading.

 
Yuriy Zaytsev:
how much fun Bashneft had at the end of the session
I remember the days when the bit was worth 20k, walking down the street and schoolchildren were even discussing... well, it was at its peak. So when you see something like that, react like I do. And I react like this, I saw and (scored), forgot.
 
Ramiz Mavludov:

Very appropriate reaction :)

 
prostotrader:

You are sorely mistaken.

Exactly the whole world is trading.

But the central bank rate in Japan = -0.1% what to make?

There are simply no tools in the Russian market for this kind of trading.

Try manual trading in KVIC :)

I don't find anything (spread), robots do.

I have already explained everything in detail, if you

I explained it all in details. If you don't understand, search on the web for "futures price from SPOT".

and "value of futures at the time of expiration".

The interest rate can affect the value of futures. The far ones can be cheaper than the near ones. But don't overestimate that influence. So I don't understand, are we talking about the Russian market? Or in general?

P.S. I've never traded pens. "The thread will rip" ))) Only robots. However, I won't take up any more of your time

 
rjurip1:

The interest rate can affect the cost of futures. The distant ones can be cheaper than the near ones. But don't overestimate that influence. So I don't understand, are we talking about the Russian market? Or in general?

P.S. I've never traded with pens. "The thread will rip" ))) Only robots.

You, unfortunately, have no basic knowledge, which is why you have such examples.

What does this have to do with the value of different futures on the same BA?

If the value of the far futures is lower than the value of the near futures, it means that the market assumes that the dividends will "fall" on the BA during the far futures.

Here's the formula for pricing stock section futures

F = S * (1 + r * n/365) - DIV
F   - торетическая цена фьючерса
S   - Цена СПОТ
r   - Ставка ЦБ
n   - кол-во дней до экспирации
DIV -   Дивиденты

Added

If you, instead of n, substitute 0 (expiration), you will be surprised to see that the price of the futures will be equal to the price of the SPOT,

therefore, by buying SPRED before the expiration, you will in any case receive an income (n !=0)

 
prostotrader:

You, unfortunately, have no basic knowledge, which is why you have such examples.

What does this have to do with the value of different futures on the same BA?

If the value of the far futures is lower than the value of the near futures, it means that the market assumes that the dividends will "fall" on the BA during the far futures.

Dividends are only one part of the value of futures. Otherwise, how do you explain the past bzkwardation of oil futures? There is no dividend at all.) "What does this have to do with the value of different futures on the same BA?" - well, it's actually an exaggerated calculation of the "time value of an asset".

Anyway, I won't take up any more of your time

Все самое важное о торговле фьючерсами на российском рынке
Все самое важное о торговле фьючерсами на российском рынке
  • bcs-express.ru
Фьючерс – стандартизированный контракт на покупку/продажу базового актива в определенную дату в будущем по заранее определенной цене. Своим появление фьючерсы обязаны торговле зерном, на которое были заключены первые стандартизированные фьючерсные контракты на Чикагской товарной бирже Chicago Board of Trade в 1865 г. Сегодня, вследствие...
 
rjurip1:

Dividends are just one part of the value of futures. Otherwise, how do you explain the last oil futures bzkwurst? The dividends are not there at all.) "What does this have to do with the value of different futures on one BA?" - well, this is actually an exaggerated calculation of the "time value of an asset".

However, I will not take any more of your time.

The conversation was about the stock section, at the commodity section other principles and formulas for calculations.

 
prostotrader:

You, unfortunately, have no basic knowledge, which is why you have such examples.

What does this have to do with the value of different futures on the same BA?

If the value of the far futures is lower than the value of the near futures, it means that the market assumes that the BA will "fall" in dividends during the far futures.

Here is the formula for pricing a stock section futures

Added

If you, instead of n, substitute 0 (expiration), you will be surprised to see that the price of the futures will be equal to the price of the SROT,

hence, if you buy SPRED before expiration, you will get a return anyway (n !=0)

You have oversimplified the formula

 
rjurip1:

You have oversimplified the formula.

For a quick understanding.

Naturally, this does not include commissions (broker and exchange), expiry fees, taxes and the % rate that dividends are not refundable within

within 15 working days. :)

But the robots do.


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