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8 comment(s). Last comment by i3gambler at Oct 14, 2019 5:58 PM
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gbk5566
85 posts

Posted by gbk5566 > Sep 22, 2019 7:55 PM | Report Abuse

谢谢分享。


gbk5566
85 posts

Posted by gbk5566 > Sep 22, 2019 9:39 PM | Report Abuse

请问,您对 FKLI 0910 的spreads 有什么看法?谢谢。


i3gambler
337 posts

Posted by i3gambler > Sep 23, 2019 8:34 AM | Report Abuse

目前CIMB的股息除权日还没有确定在在哪个月,看来应该在10月,以此计算,是应该买在-0.5点,不过9月只剩下几天而已,如果你的水钱不便宜的话,那就不要。


gbk5566
85 posts

Posted by gbk5566 > Sep 23, 2019 1:13 PM | Report Abuse

谢谢。

Kenanga,CIMB 和 The Edge 每天都有Roll FV 的报道。资料来自bloomberg。

Futures Fair Value KLIBOR Bloomberg Est FV
Contract Exp.Date Index Pt Div Idx Pt (Gross)
SEP 19 30/09/19 1.54 7.75 -6.21
OCT 19 31/10/19 5.87 9.23 -3.36
Roll FV 2.85

根据BLOOMBERG 于 19/09/2019的预测,FKLI 0910的FV 大概是-2.85。

我的计划是在-3.0 开始分批买进。现在看来有很多Buyers排在-2.5以下。

谢谢您的建议。


gbk5566
85 posts

Posted by gbk5566 > Sep 23, 2019 1:17 PM | Report Abuse

我之前排列平均。After comment 就不平均了。

Futures Fair Value

Contract /Exp.Date/ KLIBOR Index / Bloomberg Est Div Idx Pt (Gross) / FV
SEP 19 / 30/09/19 / 1.54 / 7.75 / -6.21
OCT 19 / 31/10/19 / 5.87 / 9.23 / -3.36
Roll FV 2.85


i3gambler
337 posts

Posted by i3gambler > Sep 23, 2019 2:23 PM | Report Abuse

你蛮Resourceful的,能找到如此的资料。

我是估算10月将会有约5.02点的除权,然后从中算出SEP/OCT Spread的合理价,至于Bloomberg是怎样算,我不清楚。


gbk5566
85 posts

Posted by gbk5566 > Sep 23, 2019 3:12 PM | Report Abuse

朋友在chatgroup分享的。我是Spreads的菜鸟。之前看到您的文章,觉的有很多可以学习的点子。非常感谢您的分享。


i3gambler
337 posts

Posted by i3gambler > Oct 14, 2019 5:58 PM | Report Abuse

以今天母股是1.68,而WB已经涨到0.390,应该套利了啦。。

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