tailieunhanh - Additional Praise for Fixed Income Securities Tools for Today’s Markets, 2nd Edition phần 10

giải thích tại thời điểm cho cheapening của hợp đồng tương lai từ ngày 03 tháng 4 năm 2000, 10 tháng 4 năm 2000, nhiều nhà đầu tư đã bị buộc phải thanh lý các vị trí cơ sở ngắn. Kể từ khi thanh lý như vậy dẫn đến việc bán hàng tương lai và mua trái phiếu, đủ hoạt động của loại này sẽ hạ giá hợp đồng liên quan đến trái phiếu. | TRADING CASE STUDY November 08 Basis into TYMO 453 explanation at the time for the cheapening of the futures contract from April 3 2000 to April 10 2000 was that many traders were forced to liquidate short basis positions. Since such liquidations entail selling futures and buying bonds enough activity of this sort will cheapen the contract relative to bonds. By May 19 2000 the forward yield curve had returned to the levels of February 28 2001 but had flattened by between 3 and 4 basis points. This yield curve move restored the 11 08s to CTD and reduced their net basis to . Even though the futures contracts returned to their original levels the options lost most of their time value. The total P L of the trade to its horizon turned out to be 65 844. Note that this profit is substantially below the predicted P L of about 153 532. First the forward yield curve did flatten making the shorter-maturity bonds closer to CTD than predicted by the parallel shift scenarios. Second while the model assumed that the futures contract would be fair relative to the bonds on May 19 2000 it turned out that the contract was still somewhat cheap to cash on that date. A quick way to quantify these effects is to notice that the net basis of the 11 08s on the horizon date was while it had been predicted to be close to 1. This difference of ticks is worth 100 000 000x 2 51 32 100 or 78 438 in P L. Adding this to the actual P L of 65 844 would bring the total to 144 282 much closer to the predicted number. By the way a trader can at least in theory capture any P L shortfall due to the cheapness of the futures contract on the horizon date by subsequent trading. Before concluding the case the tail of this trade is described. By working with the net basis directly the case implicitly assumes that the tail was being managed. The conversion factor of the 11 08s was .9195 so without the tail the trade would have purchased about 920 contracts against the sale of 100 000 000 bonds. On