It was a boring week just looking at close-to-close, starting at 11,037.14 on Monday and finishing at 10,983.77 on Friday, but the volatility was in its intra-day moves. For two days, the market started up about 250 points to see it evaporate to finish flat, while today it started down about 250 points to finish slightly positive. What a week.
Close-to-close volatility continues coming down and the Multiplier is now at the highest, since the inception, at 3.41. Target exposure is now, for the first time, above 100%.
| Date | Index | O/N Libor | BF | HSCEI Index | Vol | Multiplier | TE | W | RPV | $ RPV | $ W |
| 29-Jun-09 | 10987.57 | 0.02 | 76.24% | 109.08% | 36.55% | 3.28 | 96.73% | 96.73% | 108.10% | $540,480.36 | $522,817.88 |
| 30-Jun-09 | 10962.61 | 0.11 | 76.24% | 108.84% | 36.14% | 3.32 | 97.32% | 96.73% | 107.86% | $539,292.75 | $521,669.08 |
| 2-Jul-09 | 10971.89 | 0.00 | 76.24% | 108.93% | 35.20% | 3.41 | 100.11% | 96.73% | 107.95% | $539,734.35 | $522,096.25 |
| 3-Jul-09 | 10983.77 | 0.00 | 76.24% | 109.05% | 35.19% | 3.41 | 100.39% | 96.73% | 108.06% | $540,299.66 | $522,643.09 |
Given the ridiculous bid/ask on 63329 HK (it was around 7% on Thursday...), I decided to minimise crossing that and instead bought 30,000 contracts of 64581 HK, issued by ABN Amro, whose bid/ask was only 5bps.
| Date | Ticker | Last Price | 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 |
| 29-Jun-09 | 63329 HK | 0.239 | 680,000.00 | $162,520.00 | 60,000.00 | ($14,340.00) | ($2,138.13) | $0.00 | $40,480.36 | $40,536.00 |
| 30-Jun-09 | 63329 HK | 0.239 | 680,000.00 | $162,520.00 | 0.00 | $0.00 | ($1,187.61) | $0.00 | $39,292.75 | $40,536.00 |
| 2-Jul-09 | 63329 HK | 0.239 | 650,000.00 | $155,350.00 | (30,000.00) | $7,170.00 | $441.60 | $0.00 | $39,734.35 | $40,536.00 |
| 64581 HK | 0.186 | 30,000.00 | $5,580.00 | 30,000.00 | ($5,580.00) | |||||
| 3-Jul-09 | 63329 HK | 0.243 | 650,000.00 | $157,950.00 | 0.00 | $0.00 | $565.31 | $2,630.00 | $40,299.66 | $43,166.00 |
| 64581 HK | 0.187 | 30,000.00 | $5,610.00 | 0.00 | $0.00 |
