Timeline for Structured product sellers and div swaps
Current License: CC BY-SA 3.0
9 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Dec 14, 2018 at 10:26 | comment | added | Ezy | Excellent answer. | |
| Feb 26, 2018 at 11:45 | comment | added | Quantuple | @Ivan thanks for your answer it now makes sense to me as well what they meant. | |
| Feb 25, 2018 at 14:51 | vote | accept | Trajan | ||
| Feb 25, 2018 at 13:25 | comment | added | Ivan | If you’re long a put, then your exposure to future dividends increases as the spot price goes down, since your (short) exposure to the underlying forward itself increases. To your second point: moves in implied future dividends may be larger than moves in the index, thereby implying a decrease in yield. Wrt to term structure, you would think companies tend to try to increase divs over time, although I agree it’s not an iron law of economics. Certainly there is no reason either that it should be downward sloping but it tends to be. | |
| Feb 25, 2018 at 10:50 | comment | added | Trajan | "typical term structure of div futures is downward sloping which opens up interesting opportunities", why should dividends be upward sloping? | |
| Feb 25, 2018 at 10:49 | comment | added | Trajan | Not sure what this means, "The divs moves will then largely overshoot that of the index itself." | |
| Feb 25, 2018 at 10:49 | comment | added | Trajan | Its not clear to me how this works ""these products make dealers longer (implied future) dividends (ie. shorter delta to the forward) as the market goes down | |
| Feb 25, 2018 at 8:59 | history | edited | Ivan | CC BY-SA 3.0 |
added 13 characters in body
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| Feb 25, 2018 at 8:54 | history | answered | Ivan | CC BY-SA 3.0 |