Home » Perpetual Tracker with Risk Target

Perpetual+: 19 July 2009

Submitted by cahn on 19 July, 2009 - 6:14pm

The period between 3 Jul 09 and 19 Jul 09 saw weaknesses in HSCEI with the index falling to 10,279.25 on 13 Jul 09 (about 7% from 10,983.77 10 days before), but managed to finish higher at 11,146.43, having risen more than 8% over the last four days.

30-day volatility continues climbing down at 30.58%. Coupled with the recent outperformance means the exposure is now at 115.48%. Target exposure, however, already reached 120.58%, so with a bit of further upside and/or a lower volatility, we should expect to rebalance to higher than 120% fairly soon.

Date Index O/N Libor BF HSCEI Index Vol Multiplier TE W RPV $ RPV $ W
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
6-Jul-09 10827.62 0.00 76.24% 107.50% 35.28% 3.40 96.80% 96.73% 106.57% $532,869.55 $515,455.78
7-Jul-09 10674.67 0.00 76.24% 105.98% 35.29% 3.40 93.40% 96.73% 105.12% $525,588.26 $508,412.45
8-Jul-09 10573.71 0.00 76.24% 104.98% 35.40% 3.39 90.84% 96.73% 104.16% $520,779.75 $503,761.07
9-Jul-09 10641.19 0.00 76.24% 105.65% 35.28% 3.40 92.68% 96.73% 104.80% $523,994.69 $506,870.94
10-Jul-09 10574.42 0.00 76.24% 104.98% 31.93% 3.76 100.72% 96.73% 104.16% $520,814.24 $503,794.43
13-Jul-09 10279.25 0.00 76.24% 102.05% 32.35% 3.71 91.88% 96.73% 101.35% $506,751.53 $490,191.28
14-Jul-09 10651.86 0.00 76.24% 105.75% 31.02% 3.87 105.70% 96.73% 104.90% $524,520.35 $507,379.43
15-Jul-09 10860.66 0.00 76.24% 107.82% 30.47% 3.94 112.91% 96.73% 106.89% $534,466.11 $517,000.17
16-Jul-09 10902.47 0.00 76.24% 108.24% 30.07% 3.99 115.48% 115.48% 107.29% $536,456.39 $619,492.70
17-Jul-09 11146.43 0.00 76.24% 110.66% 30.58% 3.92 120.58% 115.48% 110.06% $550,318.52 $635,500.50

On 6 Jul 09, I saw the bid/ask narrowing to 5bps for 63329 HK, so sold 350,000 contracts to purchase further 300,000 contracts of 64581 HK. On 16 Jul 09, given a higher exposure of 115.48%, I bought further 120,000 contracts of 64581 HK to bring it to a total of 450,000 contracts.

Date Ticker Last Price Gearing 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
3-Jul-09 63329 HK 0.243 3.16 650,000.00 $157,950.00 0.00 $0.00 $565.31 $2,630.00 $40,299.66 $43,166.00
  64581 HK 0.187 4.70 30,000.00 $5,610.00 0.00 $0.00        
6-Jul-09 63329 HK 0.234 3.24 300,000.00 $70,200.00 (350,000.00) $81,900.00 ($7,430.11) ($6,000.00) $32,869.55 $37,166.00
  64581 HK 0.182 4.76 330,000.00 $60,060.00 300,000.00 ($54,600.00)        
7-Jul-09 63329 HK 0.225 3.32 300,000.00 $67,500.00 0.00 $0.00 ($7,281.28) ($8,640.00) $25,588.26 $28,526.00
  64581 HK 0.164 5.21 330,000.00 $54,120.00 0.00 $0.00        
8-Jul-09 63329 HK 0.216 3.43 300,000.00 $64,800.00 0.00 $0.00 ($4,808.52) ($6,660.00) $20,779.75 $21,866.00
  64581 HK 0.152 5.57 330,000.00 $50,160.00 0.00 $0.00        
9-Jul-09 63329 HK 0.216 3.45 300,000.00 $64,800.00 0.00 $0.00 $3,214.94 $0.00 $23,994.69 $21,866.00
  64581 HK 0.152 5.60 330,000.00 $50,160.00 0.00 $0.00        
10-Jul-09 63329 HK 0.216 3.43 300,000.00 $64,800.00 0.00 $0.00 ($3,180.45) $0.00 $20,814.24 $21,866.00
  64581 HK 0.152 5.57 330,000.00 $50,160.00 0.00 $0.00        
13-Jul-09 63329 HK 0.199 3.62 300,000.00 $59,700.00 0.00 $0.00 ($14,062.71) ($12,690.00) $6,751.53 $9,176.00
  64581 HK 0.129 6.37 330,000.00 $42,570.00 0.00 $0.00        
14-Jul-09 63329 HK 0.221 3.37 300,000.00 $66,300.00 0.00 $0.00 $17,768.82 $12,870.00 $24,520.35 $22,046.00
  64581 HK 0.148 5.76 330,000.00 $48,840.00 0.00 $0.00        
15-Jul-09 63329 HK 0.23 3.31 300,000.00 $69,000.00 0.00 $0.00 $9,945.76 $11,940.00 $34,466.11 $33,986.00
  64581 HK 0.176 4.94 330,000.00 $58,080.00 0.00 $0.00        
16-Jul-09 63329 HK 0.233 3.28 300,000.00 $69,900.00 0.00 $0.00 $1,990.28 $2,550.00 $36,456.39 $36,536.00
  64581 HK 0.181 4.82 450,000.00 $81,450.00 120,000.00 ($21,720.00)        
17-Jul-09 63329 HK 0.25 3.12 300,000.00 $75,000.00 0.00 $0.00 $13,862.13 $10,050.00 $50,318.52 $46,586.00
  64581 HK 0.192 4.64 450,000.00 $86,400.00 0.00 $0.00        
»

What did I say then?

Endless arbitrage?

Submitted by cahn on 24 June, 2008 - 10:22am

In March 2007, the spread between the interest rate component on a dollar/Korean won cross-currency swap (CCS) and a vanilla domestic interest rate swap (IRS) was just 20-40 basis points. In mid-April 2008, after widening to as much as 500bp in November, the spread remains huge, at around 400bp. Experts say the development is indicative of a liquidity crisis in the South Korean market. At the same time, it presents an arbitrage opportunity for investors.

»