M********n
发帖数: 4650 | 1 比如UVXY是ETF，TVIX是ETN
是不是ETN这种东西最终就是归零的？ETF是不是没有这种危险？ |
T*R
发帖数: 36302 | 2 TVIX不如UVXY。
TVIX不透明。
UVXY是真正和FUTURE挂钩。
比如今天，UVXY最高涨到2点多，但是TVIX有一阵才和VXX一样多。 |
M********n
发帖数: 4650 | 3 谢谢，但这不是我想问的。
【在 T*R 的大作中提到】
: TVIX不如UVXY。
: TVIX不透明。
: UVXY是真正和FUTURE挂钩。
: 比如今天，UVXY最高涨到2点多，但是TVIX有一阵才和VXX一样多。
|
w**k
发帖数: 6722 | 4 你们真是神人，衍生物的衍生物的衍生物的衍生物的衍生物的衍生物的衍生物的衍生物
的衍生物的衍生物，都搞得一清二楚，玩得风生水起！ |
o*******r
发帖数: 750 | |
x****9
发帖数: 2668 | 6 按照楼主理论，所以看多就空short 3xETN，看空就空 Long 3xETN。反正都要归零，就
像当年雷曼倒闭。 |
M********n
发帖数: 4650 | 7 这正是我想知道的。但归零不是短时间事，所以事情恐怕没那么简单。不过呢，TVIX我
知道损耗较大，也许空之比较合算？风险就是这东西一天翻倍都可能，所以不要太重仓
，更不要上马金。
【在 x****9 的大作中提到】
: 按照楼主理论，所以看多就空short 3xETN，看空就空 Long 3xETN。反正都要归零，就
: 像当年雷曼倒闭。
|
o*******r
发帖数: 750 | 8 ETN is exchange traded notes
Usually tracks index more efficiently
But volume is smaller |
T*R
发帖数: 36302 | 9 So how does ProShares’ UVXY, an Exchange Traded Fund (ETF) which offers the
same 2X leverage on short term volatility deal with credit risk? ETFs don
’t do internal hedging, they always require the market makers to provide
the underlying securities/hedges in exchange for new shares. Swap defaults
are a possibility for ETFs too, but if it occurs it will be reflected in
the share price. To reduce this risk ProShares requires daily marked to
market collateral and only works with large, well-capitalized, well
established financial institutions like Deutsche Bank, UBS, and Goldman
Sachs. |
b*******b
发帖数: 613 | 10 ETN其实是一个unsecured debt derivative，就像个total return SWAP，
和ETF比较，最大区别是有counter-party risk，但是track error相对较小。
不知道你指的“ETN这种东西最终就是归零的”是什么意思。是说某个financial
institution最终会bankrupt？
【在 M********n 的大作中提到】
: 比如UVXY是ETF，TVIX是ETN
: 是不是ETN这种东西最终就是归零的？ETF是不是没有这种危险？
|
|
|
M********n
发帖数: 4650 | 11 This is from "Supplement to Pricing Supplement dated 09/03/2013":
"The long term expected value of your ETNs is zero. If you hold your ETNs as
a long term investment, it is likely that you will lose all or a
substantial portion of your investment. The ETNs are not linked to the VIX
Index"
【在 b*******b 的大作中提到】
: ETN其实是一个unsecured debt derivative，就像个total return SWAP，
: 和ETF比较，最大区别是有counter-party risk，但是track error相对较小。
: 不知道你指的“ETN这种东西最终就是归零的”是什么意思。是说某个financial
: institution最终会bankrupt？
|
b*******b
发帖数: 613 | 12 I guess your cite is from the prospectus of some levered VIX ETN. In such
case, "The long term expected value of your ETNs is zero." refers to the
compounding return decay effect.
Meanwhile, ETN investors also bear the default risk of the debt issuer,
which could also result in substantial losses to investors. This type of
risk applies to all ETNs, levered or unlevered.
as
【在 M********n 的大作中提到】
: This is from "Supplement to Pricing Supplement dated 09/03/2013":
: "The long term expected value of your ETNs is zero. If you hold your ETNs as
: a long term investment, it is likely that you will lose all or a
: substantial portion of your investment. The ETNs are not linked to the VIX
: Index"
|
M********n
发帖数: 4650 | 13 Compounding decay effect (Contango) is not specifically to ETN, ETFs such as
FAS also has decay.
【在 b*******b 的大作中提到】
: I guess your cite is from the prospectus of some levered VIX ETN. In such
: case, "The long term expected value of your ETNs is zero." refers to the
: compounding return decay effect.
: Meanwhile, ETN investors also bear the default risk of the debt issuer,
: which could also result in substantial losses to investors. This type of
: risk applies to all ETNs, levered or unlevered.
:
: as
|
t***l
发帖数: 3644 | 14 TVIX和UVXY的return基本一样这点你去看看他们ratio graph就知道了。唯一区别是前
者用VIX futures option来replicate return，后者直接用futures。
ETN有issuer破产风险，但TVIX是credit suisse发的，基本可以算是没default风险。
报税的时候TVIX会有好处。
权衡利弊我会选择short TVIX。 |
M********n
发帖数: 4650 | 15 So anyway, shorting ETN is always a good move....but do we have an ETN that
is the reverse of TVix that we can short in bare market?
【在 t***l 的大作中提到】
: TVIX和UVXY的return基本一样这点你去看看他们ratio graph就知道了。唯一区别是前
: 者用VIX futures option来replicate return，后者直接用futures。
: ETN有issuer破产风险，但TVIX是credit suisse发的，基本可以算是没default风险。
: 报税的时候TVIX会有好处。
: 权衡利弊我会选择short TVIX。
|
x****9
发帖数: 2668 | 16 如今就很难借到DWTI short
So anyway, shorting ETN is always a good move....but do we have an ETN that
is the rever........
【在 M********n 的大作中提到】
: So anyway, shorting ETN is always a good move....but do we have an ETN that
: is the reverse of TVix that we can short in bare market?
|
o*******r
发帖数: 750 | 17 呵呵 你想外婆就烧dwti吧
[在 xcy999 (xcy999) 的大作中提到：]
：如今就很难借到DWTI short
：
：........... |
