Perpetual+: 19 May 2009
Submitted by loner on 21 June, 2009 - 5:10pm
30-day realised volatility of HSCEI on 19 May 09 was 40.08%.
| BF | HSCEI Index | Vol | Multiplier | W | RPV | $ RPV | $ W |
| 70.00% | 100.00% | 40.08% | 2.99 | 89.83% | 100.00% | $500,000.00 | $449,132.36 |
The exposure to HSCEI is bought through a Callable Bull Bear Contract ("CBBC"), in order to minimise the capital upfront. 500,000 contracts of a CBBC issued by Rabobank, 63326 HK, were purchased.
| 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 | $109,000.00 | 500,000.00 | ($109,000.00) | $0.00 | $0.00 | $0.00 | $0.00 |
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