E*r
2 楼
In short, No.
Huge buying and selling pressure on VIX ETFs may move front- and back-month
VX futures via ETF arbitrage mechanism; authorized participants or
unauthorized arbitrageurs are incentivized to exploit this arbitrage
opportunity to restore the market efficiency.
The VIX index, however, is a different concept. It cannot be moved by VX
futures or VIX ETPs; it is just a number directly computed from SPX options.
Huge buying and selling pressure on VIX ETFs may move front- and back-month
VX futures via ETF arbitrage mechanism; authorized participants or
unauthorized arbitrageurs are incentivized to exploit this arbitrage
opportunity to restore the market efficiency.
The VIX index, however, is a different concept. It cannot be moved by VX
futures or VIX ETPs; it is just a number directly computed from SPX options.
b*1
3 楼
请问彪哥一个问题:一个个股,大家都卖的时候价格下降,买的时候上升,这是自由市
场。那么对于一个多个股票组成的ETF,它的波动按道理应该是各个个股价格变动加权
。可是,大家对这个ETF本身的买卖对它的价格有影响吗?
month
options.
【在 E***r 的大作中提到】![](/moin_static193/solenoid/img/up.png)
: In short, No.
: Huge buying and selling pressure on VIX ETFs may move front- and back-month
: VX futures via ETF arbitrage mechanism; authorized participants or
: unauthorized arbitrageurs are incentivized to exploit this arbitrage
: opportunity to restore the market efficiency.
: The VIX index, however, is a different concept. It cannot be moved by VX
: futures or VIX ETPs; it is just a number directly computed from SPX options.
场。那么对于一个多个股票组成的ETF,它的波动按道理应该是各个个股价格变动加权
。可是,大家对这个ETF本身的买卖对它的价格有影响吗?
month
options.
【在 E***r 的大作中提到】
![](/moin_static193/solenoid/img/up.png)
: In short, No.
: Huge buying and selling pressure on VIX ETFs may move front- and back-month
: VX futures via ETF arbitrage mechanism; authorized participants or
: unauthorized arbitrageurs are incentivized to exploit this arbitrage
: opportunity to restore the market efficiency.
: The VIX index, however, is a different concept. It cannot be moved by VX
: futures or VIX ETPs; it is just a number directly computed from SPX options.
E*r
5 楼
比如,SPY 被显著 bid 高,高于500家公司股票的 NAV,
maker makers 等 arbitrageurs 就会抓住这个机会,
卖出 SPY(对SPY形成卖压),
同时买进对应的500家股票(对500家形成买压),
从而使得 SPY 与 500家 NAV 互相靠拢,
纠正了 SPY 的 mis-pricing。
arbitrageurs 在这个过称中套取的利润,
是对他们纠正 market inefficiency 的奖赏。
除了吃 bid-ask spread,这些 ETF arbitrage
也是 maker makers 的基本策略。
【在 E***r 的大作中提到】![](/moin_static193/solenoid/img/up.png)
: 有。比如SPY出现大卖盘,那么对S&P 500的每一支股票都会形成卖压。
: 搜索关键词 ETF arbitrage,以及 ETF creation / redemption 机制。
maker makers 等 arbitrageurs 就会抓住这个机会,
卖出 SPY(对SPY形成卖压),
同时买进对应的500家股票(对500家形成买压),
从而使得 SPY 与 500家 NAV 互相靠拢,
纠正了 SPY 的 mis-pricing。
arbitrageurs 在这个过称中套取的利润,
是对他们纠正 market inefficiency 的奖赏。
除了吃 bid-ask spread,这些 ETF arbitrage
也是 maker makers 的基本策略。
【在 E***r 的大作中提到】
![](/moin_static193/solenoid/img/up.png)
: 有。比如SPY出现大卖盘,那么对S&P 500的每一支股票都会形成卖压。
: 搜索关键词 ETF arbitrage,以及 ETF creation / redemption 机制。
S*s
6 楼
tvix就耍过一次流氓。
https://practicalstockinvesting.com/2012/03/30/tvix-an-expensive-lesson-
about-an-exotic-exchange-traded-note/
https://practicalstockinvesting.com/2012/03/30/tvix-an-expensive-lesson-
about-an-exotic-exchange-traded-note/
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