Perpetual+: 03 June 2009
Submitted by loner on 21 June, 2009 - 5:01pm
Since 19 May 2009, HSCEI went up by 7.47% with its 30-day realised volatility edging up about 2% at 41.99%. The RPV stands at 106.72% with the BF at 75.40% (i.e. increase of protection from 70% to 75.40%).
| BF | HSCEI Index | Vol | Multiplier | W | RPV | $ RPV | $ W |
| 75.40% | 107.47% | 41.99% | 2.86 | 83.88% | 106.72% | $533,608.03 | $447,569.75 |
The first rebalance event was triggered, reducing the target exposure from 89.83% to 83.88%. This was due in combination of the increased BF and the increased volatility. As the liquidity of 63326 HK was getting thinner, I decided to sell all the contracts and buy 590,000 contracts of 63329 HK, which is another CBBC issued by Rabobank.
| Ticker | Name | Contract to Hold | $ Contract to Hold | Contract to Buy/Sell | $ Contract to Buy/Sell | RPV Daily PnL | Tracker Daily PnL | RPV Daily Cumul PnL | Tracker Daily Cumul PnL |
| 63326 HK | RABOBANK-RC09 HANG SENG CHIN | 500,000.00 | $140,000.00 | 0.00 | $0.00 | ($13,277.24) | ($5,000.00) | $25,289.41 | $31,000.00 |
| 63326 HK | RABOBANK-RC09 HANG SENG CHIN | 460,000.00 | $124,200.00 | (40,000.00) | $10,800.00 | $8,318.61 | ($5,000.00) | $33,608.03 | $26,000.00 |
| 63329 HK | RABOBANK-RC10 HANG SENG CHIN | 590,000.00 | $126,850.00 | 1,050,000.00 | ($2,650.00) | ($4,900.22) | $0.00 | $28,707.80 | $26,000.00 |
What did I say then?
Perpetual+: 03 July 2009 (2 years 31 weeks ago):
It was a boring week just looking at close-to-close, starting at 11,037.14 on Monday and finishin...
