o**y 发帖数: 3065 | 1 为啥有contango就不能买ETF?那天然气公司的股票呢 |
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u********e 发帖数: 4950 | 3 Don't forget the "Contango"
And remember as a commodity contract holder, you have to pay for the storage
and all other related expense for it
Non-dividend stocks usually will be supported by the earning growth except
the penny stocks. And most of all, there are always a group of people in
the company working hard trying to make money for stock holders if the
company is a good company.
For commodity, it is just a game between buyer and seller. Nothing else.
Above all, commodity is only a way ... 阅读全帖 |
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a*****e 发帖数: 1717 | 4 You are simply wrong about it.
The cost is taken by bull or bear, never both. depends on it
Backswam or contango, and it will be offset when you
Liquid your position. No matter it's cost or premium.
Commodities are short term for speculators in nature.
You won't feel the cost or premium as it's smaller than spread
Within your holding period.
Of course, it's a different story for commercials.
Actually, speculators with big capital sometimes are
Willing to take the delivery with huge storage cost ... 阅读全帖 |
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u********e 发帖数: 4950 | 5 好像版上好多人在赌博 SLV, 本蛙我来贡献一个对于slv 的理解吧
1)理解1: SLV = A composit portfolio of Future contract of the silver
* 买SLV 实际上是在间接持有 long contract of the silver
* 卖SLV 实际上是在间接持有 short contract of the silver
根据基金经理的解释, 基金的目的match "slv" price with the real silver price
. 如果你是 SLV owner, 你有权要求基金在"将来的某一天”将你所持的"slv" 股份
转换成一定量的真银
核心: 买SLV是纯粹的投机,be careful about contango
2) 理解2: ETF 性质
* 作为ETF, "SLV"没有一个固定的“sharesoutstanding".
"SLV"可以随时“制造“或“分解”share. 当你想购买"SLV" 但市场上没有人卖给你
时,授权的MM可以随时“制造“出share 卖给你,“sharesoutsta... 阅读全帖 |
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k********8 发帖数: 7948 | 6 keyword:
contango vs backwardization
升水 vs 贴水 |
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r***k 发帖数: 13586 | 7 GLD和SLV是买实物储存的,所以没有contango的问题。USO,UNG之流只能用来short,
如果你认为他们不会大涨的话,他们是很好的short品种。 |
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r***k 发帖数: 13586 | 8 slv不是用futures来交易的,所以没有contango的问题。 |
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r***k 发帖数: 13586 | 9 显然不应该搞可能买入uso的策略,一旦买入了uso,且是在下跌趋势,你就等着被
contango外婆了吧。
如果你把underlying换成gld倒是问题不大。不过个人觉得还是持有gld并卖covered
call更好一点。 |
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j***b 发帖数: 5901 | 11 No. It's been like this for a while.
That's why vxx has been declining like hell. |
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b******r 发帖数: 16603 | 13 Just short VXX then.
拿23天,吃个8% rollover premium先。 |
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j***b 发帖数: 5901 | 14 I want to join this club. |
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j***b 发帖数: 5901 | 15 vix spread trading is shorting short term and long long term? |
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b******r 发帖数: 16603 | 17 just keep tracking futures.
Every day only 1/23 rollover, should have enough time to exit if
backwardation happened. |
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j***b 发帖数: 5901 | 18 A vix spike may be down the lane right now. It barely increased so far. |
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b******r 发帖数: 16603 | 19 Like you mentioned before, no sure way to make money...
This might give you a little bit more favorable odds. |
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B********0 发帖数: 472 | 20 纸交好,不用关心oil price contango. July contract 有意思呀,expiration date
可以
上下波动n%,赢了不就成股神了吗。 |
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B********0 发帖数: 472 | 21 正在这个时候,P838露了一个致命的破绽,我马上感到他没有交易OIL future的经验。
正在讨论用什么做标准的时候,他同意用CL July future, 注意他赌的是下星期三收盘
前的油价,而CL July future last trading day is Tuesday, not Wednesday。 他
贴
的入点都是July CL future价钱,如果这个时候还在玩July future,很不合理,大多
数人都玩August CL contract了。
而且他说了一句“任何在交易的CL都可以。”这明显不合理,因为july CL august CL
差5毛多呢,连这个future contango都不aware的,不可能有很多future交易经验。
我马上感到他真是造假,至少他没有交易OIL future。
93 |
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s******8 发帖数: 4192 | 22 UNG只能做短线,最多不超过三个月,否则contango就可以把你搞死。
但是最近看不出什么消息能够让nature gas飚的。
现在买和赌博差不多。 |
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j***b 发帖数: 5901 | 24 这个有人可能是我。在股票茶馆里面发的。
我back test到2006年某个时间。那时是刚开始有vix futures。在大牛市之前vxx没有
“time decay”的属性,就是说vix从x变来变去经历很长时间又回到接近x,vxx并没有
显著下跌,甚至还能上涨。
但是自大牛市以来vxx确实是飞速下跌。其速度比3倍反向etf还快很多。
我觉得vxx飞速下跌应该是大牛市的特征。大牛市大家想通过vix future来hedge,必然
导致contango,就是预期vix会上涨。但是大牛市的vix不但不涨,还会降。这个期望和
现实的差距导致vxx急速下跌。 |
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u********e 发帖数: 4950 | 25 ☆─────────────────────────────────────☆
aripple (aripple) 于 (Wed Apr 20 19:48:48 2011, 美东) 提到:
很多人觉得这个是历史新低,又不会破产降到0等等,觉得是个很好的机会。
这个问题没那么简单,不清楚算法应该去看看CBOE的VIX WHITE BOOK。
里面的算法并不是那么straight forward,有好多种情形可以降低VIX,
远远不止是SPX近两期的月期权的IV降低那么简单。
另外VIX的计算公式中用到了bid/ask的middle price,有点经验的人知道
这就存在了manipulate的可能。对于非常illiquid的strike,可能会通过
各种方式来改变这个参数,而并没有实际交易的意愿。
再就是自从CBOE有了WEEKLY OPTIONS以后,量增加得非常快,品种也越来越,
我记得去年的时候每周才30个左右的symbol。现在已经增加到60多个了,非
常惊人。SPX什么时候列在WEEKLY里面,我不太确定,但至少去年就列入了。
而且经常CHECK weekly lis... 阅读全帖 |
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s******t 发帖数: 926 | 26 ☆─────────────────────────────────────☆
updownlife (渔夫) 于 (Wed May 4 23:39:16 2011, 美东) 提到:
好像版上好多人在赌博 SLV, 本蛙我来贡献一个对于slv 的理解吧
1)理解1: SLV = A composit portfolio of Future contract of the silver
* 买SLV 实际上是在间接持有 long contract of the silver
* 卖SLV 实际上是在间接持有 short contract of the silver
根据基金经理的解释, 基金的目的match "slv" price with the real silver price
. 如果你是 SLV owner, 你有权要求基金在"将来的某一天”将你所持的"slv" 股份
转换成一定量的真银
核心: 买SLV是纯粹的投机,be careful about contango
2) 理解2: ETF 性质
* 作为ETF, "SLV"没有一个固定的“sharesout... 阅读全帖 |
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E***X 发帖数: 885 | 27 contango and backwardation
If you don't understand it, don't trade it |
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o**y 发帖数: 3065 | 28 只要足够diversify,一篮子农产品有的有contango有的有backwardation,其实是可以
一定程度抵消的。除此外再好的投资方法也没有吧。农业公司的股票是equity,和股市
波动关系很大,而且PE值已经太高了,并不是最好的track。 |
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u********e 发帖数: 4950 | 29 There is a reason for the existance of "contango" |
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I******d 发帖数: 43 | 30 准备加仓agriculture commodity (RJA)。以前在这里和大家讨论过Contango Vs.
Backwardation,很受启发。最近一点research,发现很多agr commodity实质上是ETN,
而不是ETF。也就是实质上是去买了issuer(RJA的issuer 是swedish export credit
corporation)的debt,然后issuer再去track index。这样的话好像多了issuer
insolvent然后无法redeem debt带来的风险。想long term buy/hold。不知道大家有没
有这个顾虑。 |
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j***b 发帖数: 5901 | 31 VXX is now in Contango, which means people are already expecting VIX to go
up in the future. |
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S*******s 发帖数: 13043 | 32 wrong. in Jan, it was in contango for half a year. |
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s******8 发帖数: 4192 | 33 UNG,没有最低,只有更低。
暖冬+contango+reverse split。 |
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S*******s 发帖数: 13043 | 34 it depends on if the futures are contango or backwardation |
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E**O 发帖数: 1980 | 35 买之前你再好先了解UNG的价格是由什么决定的,其次你把天然气不同到期日的期货价
格列一下,再查一下什么叫backwardation 和 contango。 |
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S*******s 发帖数: 13043 | 36 however, the recent dive is too much to be explained by contango |
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s******8 发帖数: 4192 | 37 Six-month contango 12%.继续烧。 |
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o**y 发帖数: 3065 | 38 If the government wants to hit food price hard, it is easily. Just rumor
there is a big harvest somewhere in the world, then hedge funds will soon
short the market crazily.
Plus food is not a safe heaven as gold, the production can be very much
dependent on weather and politics, as well as contango. I prefer to buy agri
companies, rather than the futures. |
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c******e 发帖数: 1581 | 39 现在明白为什么说 gas 作 future 比 ETF UNG 好了吧。 |
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a*******1 发帖数: 23 | 40 There is a contango issue in GAS, Unless the nature gas price is rising up
steadily. It is destined to lose even in a piggy market.
UNG is more likely to go down for a long long time, maybe short it is a good
idea. |
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c*****9 发帖数: 93 | 41 现在TVIX基本上就是像一只单独的股票了。。。不过最近contango这么厉害,TVIX有可
能一下跌一半都有可能,四月和五月的vix future差距不大,uvxy的daily re-
balancing损失会小一点,大概从这周三开始 |
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b*****s 发帖数: 1475 | 43 QJW:
any reason why tvix up today and uvxy down? |
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h******e 发帖数: 908 | 44 谢谢!
看完了就一个感觉,赶紧卖了它。。。
set
, |
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j****z 发帖数: 168 | 46 粗粗地说是供需。不过还是反映了市场的预期。这里的信号是空大盘,而不是卖TVIX. |
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n*******d 发帖数: 115 | 47 当contango很客观的时候,short UVXY 数学期望启不是每天赚钱? |
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b******r 发帖数: 16603 | 48 VIX shooting up all of a sudden could turn contango into backwardation. In
this case, ETFs get premium. VXX could. go up more than VIX after daily
rollover. |
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n*******d 发帖数: 115 | 49 谢谢你的经验分享。我猜赚钱的唯一办法是自己发行UVXY,不知道proshare是不是只要
发行share就行了,是不是真的在全额资金地操作买进卖出vix futures。如果不用全额
资金操作,那它就可以光发行,就给你个担保就行了,你可以随时以nav的价格来兑现
,但事实上没有很多人会去兑现,有那功夫在二级市场上卖了岂不是更方便。UVXY的
time decay非常厉害,我估算了一下每个月15%,所以如果监管机构不管的话,它是可
以空手套白狼的。
goes
associated
it.
contango
. |
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