Tabla du Jour: ETFs, Alertas de los Reguladores

(Fuente: Index Universe)

Reunion del qf club: La Revolución ETFs

Ayer tuvimos el gusto de escuchar a Marco Avellaneda presentando: “The ETF Revolution: International and Brazilian Perspectives”.

Aquí esta la Presentación

 

Gráfico du Jour: Julio ETFs

(Fuente: EconompicData)

Paper: Opciones sobre ETFs y Volatilidad Implicita

The Implied Volatility of ETF and Index Options

Abstract: 
We examine the option-implied volatility of the three most liquid ETFs (Diamonds, Spiders, and Cubes) and their respective tracking indices (Dow 30, S&P 500, and NASDAQ 100). We find that volatility smiles for ETF options are more pronounced than for index options, primarily because deep-in-themoney ETF options have considerably higher implied volatility than deep-in-the-money index options. The observed difference in implied volatility is not due to a difference between the realized return distributions of the underlying ETFs and indices. Differences in implied volatility for ETF and index options also do not appear to be explained by discrepancies in net buying pressure, as theorized by Bollen and Whaley (2004).

Link al Paper

Manejo activo en ETFs

FT Alphaville nos regala -en este lunes invernal- dos post excelentes sobre ETFs. Uno digno de la sección Finanzas 101 y el otro sobre cuestiones más “profundas” sobre este tipo de instrumento: ETFs manejados de forma activa. Un tejemaneje de incentivos, donde pelean la trasparencia y la reserva de información.

The fund (Eaton Vance) began the regulatory process to approve five non-transparent actively managed bond ETFs in March 2010, based on highly technical patented processes. In April this year, the Securities and Exchange Commission finally granted the fund manager’s request.

So how did they do the impossible?

In a nutshell, their success lies in the intellectual property they came up with, their patented processes for non-transparent trading.

Aqui esta la patente.

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No olviden el video introductorio a ETFs de la serie Fun & Finance

Fun & Finance: capítulo 8, ETFs

En este capitulo, aparece nuevamente Marco explicandole -en esta ocación a Gaston- que son los ETFs.

Para un mayor disfrute de este video, le recomendamos que lo vea desde Vimeo directamente en Alta Definición

Finanzas 101: ETF Apalancado

Gracias a un post de Felix Salmon, Symmetric Info hace su debut para con nosotros. Bajo el motto ” Our goal at SymmetricInfo.org is to make complex economics and finance that matters to your life extremely clear“, este Blog ofrece una excelente y simple explicación sobre ETF Apalancado. Realizada en dos partes (I) (II) y acompañada por videos explicativos.

Siendo este el primero de varios.

Dos conceptos interesantes (el segundo más criollo que el primero)

1) Shares Outstanding / Average Daily Volume: proxy de periodo de tenencia del inversor promedio (sesgado, pero util).

2) Si pensas tenerlo por más de un dia. Ojo! No te relajes! Ponele “una ficha” a como se mueve el subyacente.

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PD: Se nos adelantaron, estamos a semanas de lanzar un video sobre ETF.

PD^2: ETF apalancado explicado por Marco Avellaneda.

Infograma du Jour: Rey Midas

(Fuente: WSJ)

Reporte sobre el Flash Crash

La SEC presento el reporte relacionado al Flash Crash del pasado mayo.

On May 6, 2010, the prices of many U.S.-based equity products experienced an extraordinarily rapid decline and recovery. That afternoon, major equity indices in both the futures and securities markets, each already down over 4% from their prior-day close, suddenly plummeted a further 5-6% in a matter of minutes before rebounding almost as quickly.Many of the almost 8,000 individual equity securities and exchange traded funds (“ETFs”) traded that day suffered similar price declines and reversals within a short period of time, falling 5%, 10% or even 15% before recovering most, if not all, of their losses. However, some equities experienced even more severe price moves, both up and down. Over 20,000 trades across more than 300 securities were executed at prices more than 60% away from their values just moments before. Moreover, many of these trades were executed at prices of a penny or less, or as high as $100,000, before prices of those securities returned to their “pre-crash” levels.By the end of the day, major futures and equities indices “recovered” to close at losses of about 3% from the prior day.

Link al Reporte.

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UPDATE:

Notas relacionadas.

FT Alphaville

Themis Trading

critica al hedging convencional

Condor Options tiene un post donde explica los problemas del hedging clasico, tomando como ejemplos a la diversificación y al seguro de portfolio (put y collars).

Portfolio insurance strategies were developed in the late 1970s and early 1980s to provide institutional investors with a guaranteed return and reduced uncertainty, and coincided with the creation of options exchanges. See Bouyé 2009 for an overview of the history and types of portfolio insurance. I’ve tested three such strategies here:

1. Long ATM 1-year puts: Given a starting $500,000 portfolio allocated to the SPDR S&P 500 ETF (SPY), buy at-the-money (ATM) put options expiring in one year and hold through expiration. Rebalance the SPY shares after expiration to account for any realized gains or losses, and re-hedge.
2. Long 10% OTM puts: Given a starting $500,000 portfolio allocated to the SPDR S&P 500 ETF (SPY), buy 3-month put options with a strike price 10% below the current SPY price and hold through expiration. Rebalance the SPY shares after expiration to account for any realized gains or losses, and re-hedge.
3. Zero-cost collars: Given a starting $500,000 portfolio allocated to the SPDR S&P 500 ETF (SPY), buy 3-month zero-cost collars with a long put strike price 10% below the current SPY price and a short call strike price set at the highest level that brings in sufficient credit to offset the price of the put. Hold through expiration. Rebalance the SPY shares after expiration to account for any realized gains or losses, and re-hedge.