Questions tagged [etf]

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394 views

Is there really a negative roll yield for futures in contango?

I am trying to wrap my head around how ETFs that track futures work (whether its USO tracking WTI futures or VXX tracking VIX futures). I have read online about how for normal contango environments, ...
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111 views

Pricing Options on Fixed Income ETFs

The market for trading options on fixed income ETFs like HYG has become increasingly prominent in the past couple years, but I've been unable to find any discussion related to the pricing methodology ...
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82 views

Motivation for hedging volatility using VIX ETNs

I wondered what the motivation for professional investors could be to trade in VIX ETNs. Why would they even think about trading this kind of product? (They normally should have access to VIX options,...
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125 views

Forward spot calculation for a dividend paying no-short sell ETF

I am trying to fit an implied volatility curve for options on the SSE 50 etf that has no borrow (no short selling allowed) and pays a single annual dividend. I originally thought I could use the ...
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80 views

What does leverage lower than 1 means for ETFs

I've recently noticed in my IB terminal that many ETFs have leverage lower than 1. I understand that some ETFs have leverage higher than 1 for example TQQQ because ...
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86 views

Why do leveraged and inverse leveraged WTI ETNs have this price relationship?

UWTI: 3x leveraged exposure to WTI DWTI: 3x leveraged inverse exposure to WTI The inverse relationship between these two symbols seems to trend toward the origin on a log-log plot (using log base 2)....
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523 views

What is the market impact of OTC trading ETFs?

I read an interesting statement here: "If an ETF’s market price tracks its NAV well, it is likely to have a small market impact. On the other hand, if the market price is more volatile than the ...
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29 views

Overnight and intraday returns of stock index and ETF seem inconsistent

Figure 2 of the 2019 paper "Celebrating Three Decades of Worldwide Stock Market Manipulation" shows that 29 Jan 1993 to 31 Oct 2019, overnight returns (from close to open) of SPY were 1232% while ...
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43 views

Determinant of index implied vol

I find that unlike individual stocks, whose option trading and implied vol can be traced to the underlying liquidity and short-ability, the determinant of implied vol on index ETFs is quite confusing. ...
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136 views

How to calculate leveraged ETF rebalancing?

So let's say that we have a market-cap weighted ETF (free-floating shares) that tracks an index comprised of stocks A and B. Stock A has a share price of $$10 and there are 100 outstanding shares and ...
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49 views

Why hasn't SVXY recouped more of its lost value as vol has crashed in the past 2 weeks?

SVXY fell from around \$140 to \$9. It has since bounced back 25% to around \$12. Vix futures went from the 11-14 range to 35 and now back to 17-18. SVXY holds a short position in Vix futures with ...
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46 views

ETF ranking/rating?

Is it possible to rank/rate ETFs from the standpoint of their riskiness? I am aware of Morningstar's star-based ratings, but based on my limited research they seem to take into account only returns ...
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71 views

pricing relationship between SPY and IVV

SPY and IVV are both non-levered ETFs of the S&P 500 Index. However there are some subtle differences between them. SPY pays cash dividends while IVV reinvests their dividends. IVV allows ...
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274 views

List of US Industry sector ETFs that map to ICB classification

I am in the prcess of carrying out intra-and intra sector analysis of US stocks, and am proxing sectors with sector ETFs. I therefore, need to catalog the list of US sector ETFs - but have been unable ...
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90 views

Long Term investment in leveraged ETFs not necessarily bad?

I have conducted very much research about leveraged ETFs lately. Most sources specifically say that these instruments are not meant for long-term investments and that they are very risky due to the ...
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399 views

How can factor certificates achieve constant leverage?

How does a bank which offers a factor certificate with unlimited maturity, e.g. a certificate which promises the holder to change in value in a constant proportion with respect to a change in the ...
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243 views

Fama-French Factors for ETFs and MFs

Is there a public source or a paid service that provides FF3 (or FF4 = "Carhart") factor loadings for US traded ETFs and Mutual Funds? Something that is regularly updated and that provides comparable ...
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416 views

How to hedge an ETF position with a basket of its underlying components

In practice, when one takes on a large equity ETF position, I would imagine it's not necessarily "optimal" to hedge using a basket of all the constituents even though that should be a perfect hedge. ...
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301 views

How to hedge a long stock with the corresponding volatility ETF

Let us say I want to establish a market neutral position. So if I buy 50 shares of stock (SPY) and I want to delta hedge, I sell an ATM covered call. So that brings the position delta to 0. Now, I ...
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22 views

Why would this price data have lots of spikes above the trend line?

I am completely new to quant finance, so I apologise if this is a ridiculous question. Here is a picture of a snippet of some price data from the security 'NYSEARCA: SPY' (which is SPDR S&P 500 ...
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39 views

How to check if a symbol is a Common Stock (Equity)?

I had read this Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?. I know the ETF field of ...
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23 views

What are the factors affecting Pre-Market/overnight market prices

During the past few weeks, it seems to me, that there are different cohorts of people affecting the prices of, say, SPY--the S&P 500 ETF during normal hours and after-hours. This may be a ...
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48 views

Can a bond be denominated in another security?

Could a bond be issued that's denominated in securities like ETF shares or stock shares? Of course most people would not want to buy it, but is it possible? I know it's possible to short a security, ...
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120 views

Where can I get alerts for future delisting of stocks/ETFs?

I scan / trade a universe of 1500 different European and US stocks and ETFs trading on many different exchanges. I would like to get notified before any of the tickers are delisted, so I can sell ...