mahkoh
1,065 posts
msg #139273
- Ignore mahkoh |
11/14/2017 3:07:54 PM
I recently checked several 3x etf's in order to find out how much each decays over time.I was actually quite surprised that it was not at all the rate I expected. First of all it did not start to kick in until after 20 trading days, and the only ones that had serious decay were DRIP and GUSH.
I was not surprised to find out the big winner (or rather loser) was TVIX.
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johnpaulca
12,036 posts
msg #139274
- Ignore johnpaulca |
11/14/2017 3:17:43 PM
XIV($107.72)....30-min bar, bots will be eating this alive(short)
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johnpaulca
12,036 posts
msg #139275
- Ignore johnpaulca |
11/14/2017 3:19:55 PM
XIV...Time and sales showing more buyers than sellers...trickery!!
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BarTune1
441 posts
msg #139276
- Ignore BarTune1 |
11/14/2017 3:30:00 PM
@mahkoh
try using this to see the net decay since the beginning of the year ....
symlist(nugt,dust)
and date offset is 220
you can add other triple leveraged pairs
Decay is quite pronounced and exists for a number of structural reasons. Perhaps one of the biggest factors is that most ETFs get their exposure from equity swap agreements with large financial institutions (FIs). The FIs typically charge a hefty fee (built in as a spread) so the ETF never fully realizes the 3% move either way. The compounding effect really adds up. You'd be wise to short both etfs most of the time, if you could.
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mahkoh
1,065 posts
msg #139278
- Ignore mahkoh |
11/14/2017 4:09:08 PM
I was looking at short term decay:
and checked the % change over time. If GDX changed x % over a number of days, how much did NUGT deviate from 3 times x %? I did not see a large deviation develop in the first 20 days.
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BarTune1
441 posts
msg #139279
- Ignore BarTune1 |
11/14/2017 5:34:41 PM
@mahkoh
you are correct ... short term you don't often see much decay ... my only point is that you will invariably see decay over time ... and that can provide quite a profitable edge ...
i guess i'm just kicking myself because i was short about $23K of both DUST and NUGT at the beginning of the year and closed out the position when i was up around $2,300 ... had i held on like my intention ... i would have been up around $10,300 on the short of DUST and around $1,000 on the NUGT short ... all with minimal directional risk ... i've traded this strategy several times and made money each time but its like watching paint dry at times .... maybe its time to get into it again ...
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pthomas215
1,251 posts
msg #139282
- Ignore pthomas215 |
11/14/2017 7:15:57 PM
There are some very intelligent people on here, but then again I am from Detroit. Home to the Monster Truck Pull.
Word of caution for the bulls...I sense with 45 minutes left in post market that the tax reform is not being received as well as expectations.
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BarTune1
441 posts
msg #139283
- Ignore BarTune1 |
11/14/2017 8:33:23 PM
Hopefully you are in one of the nicer suburbs .... there are some pretty rough areas downtown!
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pthomas215
1,251 posts
msg #139284
- Ignore pthomas215 |
11/14/2017 9:38:20 PM
Bar Tune, ha ha indeed.
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gmg733
788 posts
msg #139285
- Ignore gmg733 |
11/14/2017 9:48:09 PM
Royal oaks.
+1 for monster trucks. Lol
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