Questions tagged [short-selling]
The short-selling tag has no usage guidance.
83 questions
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How to hedge a short VIX position with SPY
Assuming it's Nov 15th, and the SPY is trading at 217.2. Suppose I sell 11 contracts with Dec. 21 maturity. How many shares of SPY do I buy to hedge my VIX futures position?
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If by selling short assets, you get extra capital for your longs, can you actually be dollar neutral?
I have a strategy where I short index ETF worth 80% of my portfolio, it shows up in leverage because I've borrowed the asset to short, but now I have 1.8 times the initial capital because of short ...
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Short selling limits and institutional ownership
Why is Institutional holding considered a proxy for short-sale costs? In other words, Why are firms with lower institutional ownership more likely to be a subject of short-sale constraints?
For ...
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How does short selling affect the leverage of a portfolio?
I know that if you short a stock you borrow it from a broker, immediately sell it, and then buy it back at (hopefully) a lower price.
But I don't understand how it impacts the leverage of a portfolio....
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What incentivises short selling? [closed]
The borrower of the asset is incentivised by the belief that the relative value of the asset will go down (he can then sell it at high price now and buy back cheaper later).
But what incentivises the ...
4
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How are ETF fees deducted? What happens if you short an ETF?
When I buy an ETF, the ETF issuer wants a certain management fee (expense ratio). How is this usually paid?
I've read that this might be deducted from dividends - is this the case? How does it work ...
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How is the number of shorted shares for a given company publicly known?
I wonder how the number of shorted shares for a given company is publicly known. For example, http://www.wsj.com/mdc/public/page/2_3062-nasdaqshort-highlites.html (mirror) indicates the percentage of ...
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How to solve for the implied stock lending rate given equity options prices?
When market makers price options on hard-to-borrow equities, they include the cost to borrow the underlying equity that their broker is going to charge them to sell the security short to hedge. I'm ...
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short selling with collateral accounting
I don't know how the accounting works for short selling with collateral:
For example if a stock is \$10 a share and turn out to be $15 a share a week later.
At time 0, you borrow and sell 10 shares ...
- 8,219
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Short selling volume reports
I'm researching short selling volume data reports from NYSE, NASDAQ and BATS (Sources: FINRA + BATS website). And my question is: Why are those numbers so high?
Is it really just a speculative short ...
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How variance dispersion trades become short volatility
From this document, http://quantlabs.net/academy/download/free_quant_instituitional_books_/[JP%20Morgan]%20Variance%20Swaps.pdf, on page 56, it states that
Losses from short correlation through ...
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How come SNAP does not have option chain?
I want to buy put options on the newly issued SNAP stock (Snapchat).
How come the option chain is still empty? it's been a few days since the IPO.
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Under which conditions the minimum variance portfolio involves no short selling?
If $\rho_{12} < 1$ or $\sigma_1 \not= \sigma_2$ then $\sigma_v^2$ representing the variance of the portfolio with weights $(w_1, w_2) = (s, 1-s)$ as a function of $s$ attains its minimum value at:
...
- 9,440
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Efficient way to short Tesla
I believe that at 45B$ Tesla is massively overpriced.
The thing is that I don't know how long it will take it to trade on fundamentals, maybe a couple of years after launching model 3.
So I want to ...
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What does a negative stock amount mean in a single-period, binomial market model?
Consider a single-period, binomial market model with a $r > 0$ interest rate (in USD per period) and a portfolio $(x, y)$ consisting of two assets: a savings/lendings account and a stock, both ...
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Prove arbitrage opportunity
The continuously compounded interest rate is $r$. The current price of the underlying asset is $S(0)$ and the forward price with delivery time in 1 year is $F(0,1)$. Short selling of the stock ...
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How does a Broker-Dealer lend shares to other Broker-Dealers?
Is it possible to find out how a OTC Broker-Dealer in thinly-traded equities lends shares for short-sales to other Broker-Dealers. Which platform or process is involved?
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Limits on Short selling
When back testing an algorithm that relies upon short selling certain stocks, how to limit the short selling so that the back-test results still remain reliable? What kind of controls are generally ...
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How to simulate historical performance of a short position of a security?
I would like to calculate with R the inverse return of Bitcoin. My objective is to simulate the historical price and return of a short position opened in Bitcoin.
The first method is to cumulate the <...
- 9,440
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Where am I making a mistake in my calculation of profit on a short-sale?
I am studying financial math and here is a problem and the solution from the author:
Here are my calculations:
The short sale is $200\cdot24.82 = 4964$. Now half of this amount will be taken for a ...
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Calculate short log return including fees
log long return is log((exitprice-fees)/entryprice) without leverage.
log short return is the negative long return.
So, from the above I would get
short return = log(entryprice/(exitprice-fees)). ...
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Option writing optimal sell time
When selling options, e.g. a straddle I read often the optimal time for selling options is 30-40 days until expiration.
For me intuitively the optimal time would be around one week until expiration ...
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Forex trading scenarios - calculating units
I'm trying to build an automated forex trading system and I'm trying to understand how to calculate the number of units I should specify for each trade in different scenarios. Say for example I have ...
CommunityBot
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Calculating units in a cross currency short trade
If I have a forex account with a broker and a balance of 100 USD, and I'd like to short EUR/JPY, how many units can I short? How is this calculated? Which currency pair do I use to translate between ...
- 1,156
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possible to estimate if hard-to-borrow?
I'm building a low frequency US equity stat arb system. On any given day the system is long ~100 stocks and short ~100 stocks. It trades once a day at the open, and on average 4/5 of the portfolio ...
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Question about "short" in this sentence
I was reading an article by David Stockman from (http://davidstockmanscontracorner.com/take-cover-now-they-dont-ring-a-bell-at-the-top/). He uses the word "short" in a way I'm unfamiliar with. If you ...
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Shorting 'pump and dumps' legal?
Ive seen my junk inbox overflowing recently with a few stocks being pushed extremely heavily via unsolicited emails from a variety of 'firms', my guess is that these are done by the same individual / ...
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What is meant by a structural short?
What is meant by a structural short in this context:
"First lesson: Valuation shorts are pretty difficult. Look for structural shorts instead."
Link
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What does "Inst. Own" mean on Google Finance, and how can AOL be 103% "Inst. Own"'d?
https://www.google.com/finance?q=NYSE%3AAOL&ei=yZCpUODEMsKqqgHPzQE
Previously, I assumed "Inst. Owned" meant the percentage of the company's stock that was owned by the company (viz. not floated),...
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Historical data on short rates
I would like to backtest a short-equity strategy. I'm looking for historical data on the availability of shares and cost to short certain stocks. Does anyone know of such data being available anywhere?...
CommunityBot
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What is the relative performance of hard-to-borrow securities?
Is there any research on the equity return performance of hard-to-borrow securities?
Many shops will simply screen for hard-to-borrow and eliminate these names from their short book.
Anecdotally, ...
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How do brokers charge for locates?
Few quick questions on how locates work.
How do brokerages charge for locates? They charge based on volume?
How long you need the locate (I assume an one day is max)?
Do the brokerages actually ...
- 13.6k
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How did bans on short-selling affect the derivatives markets?
Due to the ongoing turmoil in the financial markets a short-selling ban is being considered (again, one has to say, but this time in Europe): http://www.nytimes.com/2011/08/12/business/global/europe-...
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