6

As 'sheegaon' suggested, you can solve for an implied interest rate -- which is not necessarily the cost of borrowing the underlying stock -- using put-call parity. As you probably know, an implied volatility algorithm increases and decreases its implied volatility guess until the theoretical price and market prices of an option converge. Similarly, to ...


5

The cost of the hedge does not appear directly in the price for any one option, but rather will appear as an apparent violation of put-call parity. However, due to differing demand for puts and calls, this merely widens the arbitrage bounds ordinarily set by put-call parity, but does not imply a single implied borrow rate. In other words, the borrow rate ...


5

A "Valuation Short" is a short idea based solely on valuation (fundamentals). This is presumably a "bad" idea and one of the quickest ways of loosing all your money. A "Structural Short" is said of shorting a company with a mature business model in decline, or shorting a stock that is becoming obsolete or significantly less competitive due to some major ...


5

Suppose that the given condition is true. You want to construct an arbitrage portfolio to take advantage of this. Now, $d$ is an interest rate, and the condition suggests that $d$ is too high. So you will want to receive $d$ in order to profit. If you could, you would borrow money at $r$ and lend it to the stock broker or exchange to collect the interest ...


4

Options will be listed this Friday, source.


4

Given one satisfies margin requirements anyone can short exchange traded options as long as local regulators permit (American retail investors at present are not permitted, for example, to trade futures options . As long as there is a market and one finds a willing counterpart nothing speaks against shorting options contracts. Some brokers might require a ...


4

Calculate the beta of the VIX Dec 18 contract to the SPY. Then apply this equation: $$\ hedge \ ratio = \frac{1000\beta}{SPY_{price} } $$ You then take the hedge ratio round it and that will give you the approximate amount of shares to hedge with. This is a simple solution. There are other ways to calculate the hedge ratio. Just as a note, this will ...


4

Regarding your first question, here a simplified explanation: Assume a company A, worth 100\$, split into 100 outstanding shares. You own 5% of this company and, therefore, 5 shares or 5\$ of the company value. Now A issues 100 new shares to someone. But this will not necessarily raise the value of A. So afterwards you own 5 shares of a company worth 100\$ ...


3

'Inst. Owned' almost surely means "Institutionally Owned". With respect to the 103% ownership reported: Discrepancies caused by varying time lags in reporting ownership may skew the results Second, and perhaps most likely, is due to short selling. I might own 100 shares, lend them to Bill, and Bill might sell (short) the stock to Nancy. In this case both I ...


3

I think this paper (which I skimmed once a long time ago and no longer have access to) may provide some insight: Cohen, Lauren, Karl B. Diether, and Christopher J. Malloy. "Shorting Demand and Predictability of Returns." Journal of Investment Management 7, no. 1 (2009): 36-52. It seems to consider stock loan fees which may be a proxy for "hard to borrow".


2

In 2008, the SEC instituted an exemption for market makers to allow them to sell short for the purposes of bona fide activities related to market making in options. However, "for new positions, a market maker may not sell short if the market maker knows a customer or counterparty is increasing an economic net short position".


2

You should make your borrow cost sufficient to dissuade unlimited short selling. In practice, each short would require you to borrow shares from your broker. This is usually handled when computing transaction cost. You should account for this in your trading algorithm or in the factor model itself. A simple method would make shorts some N% more expensive ...


2

Are there any regulations baring shorting these 'shadily marketed stocks' ? In the markets I'm most familiar with, Canadian, the answer is no. To be honest the biggest hurdle you'll come across is how do you short penny stocks that are being pumped and dumped? 1) There will often be no options on these so you can't use that avenue 2) Where will you get ...


2

It depends on the derivatives exchange but e.g. Eurex exchange can also be used by retail investors as long as they are qualified (concerning their max. risk level) and their bank offers access to it (some at least do that).


2

What you're trying to do is express all your positions in terms of a risk currency. Then you can track your PnL in only one currency. You need to express all this in an Excel spread sheet and include some rates, a bit like the screenshot here.


2

To answer your second question, the expense ratio fees are reflected in the net asset value of the ETF. Shorting also incurs a borrow cost.


2

Suppose you are short the index option, and long the single stock options (all vanillas). You size it in such a way that at inception you have flat vega, you hedge out all your deltas. Now assume the market moves down. All your options move away from ATM and they all have less vega (both your long single stock options, as well as ur short index option). ...


2

Of course you can sell options and you can certainly sell options on most major indices. Thinkorswim (TDAmeritrade) offers and excellent platform. Moreover, one can short options without "full" account privileges provided a defined risk trade is entered (such as an iron condor or call spread)


2

Yes, it is the borrow rate that the short seller pays to borrow the stock from the long holder. The rate increases as the stock goes "special"--meaning that there is a large demand too borrow stock from short sellers. There are a number of investors, such as index funds and pension funds that require them to hold all the stock in an index. Therefore they ...


2

You should have bought your (long) stocks with the proceeds of the ETF sell.


2

If you are analysing the performance of a long/short type of portfolio you typically do not calculate returns of the portfolio value itself. Typically you would calculate your daily pnl in dollar terms and for example calculate the sharpe ratio of that quantity. The only “return” quantity that truly makes sense for such long/short portfolio is the return on ...


2

You pretty much have this correct. You don’t have to have the spread equal to zero to unwind the trade. All you would care is that the stock you bought (stock A) outperform the stock you shorted (stock B) on a dollar basis in order for this to be a winning trade. In real life you would still need some capital in the trade due to margin requirements on the ...


1

FREE Short Sale Data Source SEC Data Reported to a FINRA TRF (NASDAQ TRF and NYX TRF) This is a direct link to all of the short sale data available. Short Sale Volume Data (NASDAQ TRF, NYX TRF, ADF and ORF) PAID Short Squeeze


1

For those who also need an answer as I did. The explanation is here: https://investorshub.advfn.com/boards/read_msg.aspx?message_id=57101068 TLDR: Those data are +- worthless because not only actual short sales (speculations) are included.


1

Surely you have to keep $150 in your account against the short sale, all of which you lose on the close out.


1

Negative y means you're short the stock. This may have costs, just as being long the stock may have income from lending it to someone else. These costs can easily be incorporated as a growth adjustment to the stock. Since it costs more to borrow than you make from lending, the growth adjustment should depend on whether your overall position is long or ...


1

There are two conditions: $W_1=s_0$ has to be non-negative, which means $\sigma_2^2 - \sigma_1\sigma_2\rho \ge 0$, which simplifies to $\sigma_2 \ge \sigma_1 \rho$. (I assumed $\sigma_2 \ne 0$). The second condition is that $W_2=1-s_0$ also has to be non-negative, i.e. $s_0 \le 1$. So $\sigma_2^2 - \sigma_1\sigma_2\rho \le \sigma_1^2+\sigma_2^2-2\sigma_1\...


1

The first method gives the performance when rebalancing the position every day so you have a constant dollar exposure, the second is the result of shorting USD 1 and then keeping the position open, i.e. a short-and-hold return. They can be quite different in the long run and if there is high volatility. I recommend the short-and-hold with, possibly, ...


1

You assume that you receive the 6% interest rate on the receivings of the short sale (2474.55) and you assume that you will receive the 4% interest rate on the haircut (2474.55). This is not stated in the question and the only thing you should calculate based on the information in the question is the loss from not being able to receive the 6% interest on the ...


1

If you are short you need to use log((entryprice-fees)/exitprice). It is the same logic as in log long return case. You just need to change your entryprice and exitprice inputs. In this case, entryprice is the selling operation and exitprice will be the buying operation (just the opposite).


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