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If it is the closest futures and it hits the dividend, it is likely to trade cheaper than the underlying asset.
Here is an example:
VTB futures expire in June 2020. If you calculate the price of the underlying asset from the futures price, it is worth 0.02967. It is actually worth 0.0311. The cut-off date for the divi will be sometime in the summer, so the future will take that into account and will trade at 0.00143 cheaper than the basis.
Not exactly.
It's the stock that goes down by the dividend, and since the futures price = stock price + CB rate, then
of course the futures "drops" in value.
If you have accounts opened for one person (with a passport), the shares should"come" to the Stock Market,
but you'd better ask your broker (I haven't done so)
I see thank you, I will check with my broker on this issue.
Not exactly.
It's the stock that falls by the dividend, and since the price of the futures = the price of the stock + the CB rate, then
of course the futures "drops" in value.
I calculated this way: took the futures price divided by the number of shares in the 1st futures (at VTB it is 100 000) it turns out that this futures is cheaper than the base by 4.6%. The dividend cut-off has not yet taken place and it turns out that the futures take into account the future cut-off and the fall in the price of the underlying asset.
You got it right, but the dividends will be charged at 13% + the depositary will charge you two times 179 roubles for
for the accounting of your shares. Don't go shorting the shares, the broker will turn on the counter straight away.
I calculated this way: I took the futures price divided by the number of shares in the 1st futures (VTB has 100,000) and it turns out that this futures is 4.6% cheaper than the base. The dividend cut-off did not take place, so the future has already taken into account the future cut-off and the fall of the underlying.
Not exactly.
But there's a concept of "market expectation" and because of that there's quite a bit of fluctuation
prices. That's why this moment (when the cut-off has not yet been announced) is the most "bread" time.
This is how Soros made his fortune - he just had a good insider.
Not really.
But there is a notion of "market expectation", in relation to which there is quite a lot of fluctuation in
prices. That is why at this point (when no cut-off has been announced yet) is the best "bread" time.
That's how Soros made his fortune - he just had a good insider.
I see. I have another question. I've tried to use lua script calculating contango and backwardation and I've got that in the current trades table the ticker of underlying doesn't correspond to the real ticker of the fund. But not for all assets, some have the same ticker, some do not. For example VTB matches, but Gasprom does not. And I do not understand how I should connect the futures with the underlying asset without using crutches. Maybe you can tell me something.
I see. I have another question. I used lua to make a script that counts contango and backwardation and came across the fact that in the table of current trades in futures the ticker (code) of the underlying asset does not correspond to the real ticker on the fund. But not for all assets, some have the same ticker, some do not. For example VTB matches, but Gasprom does not. And I do not understand how I should connect the futures with the underlying asset without using crutches. Maybe, you can give me a hint.
It's not so hard.
The code is in Pascal, but it's understandable.
First you select the letters from the futures name, then Spot = selected letters,
and then you check (code above) and correct if necessary.
Note
You shouldn't use LUA in the first place because if you use it to write a decent Expert Advisor, you won't be able to use it in a full-fledged way,
You won't be able to properly and fully test it.
So it's not hard.
The code is in Pascal, but it's self-explanatory.
First you select letters from the futures name, then Spot = selected letters,
and then you check (code above) and correct if necessary.
Note
You shouldn't use LUA in the first place because if you use it to write a decent Expert Advisor, you won't be able to handle it properly,
You won't be able to properly and fully test it.
I did. I just thought it could be done without any additional conversion. What if some new stock or futures appear?
I do not write EAs, I just practice programming in Lua. I prefer mql for Expert Advisors but my broker has only quick.
...
I have another question. You once said that contango may be the size of central bank rate. But I have noticed a maximum of 2% above the price of the underlying asset. Or this value depends on how many days before expiration and should I count the rate per day multiplied by the number of days before expiration, not the annual rate?
I did. I just thought it could be done without any additional conversion. I just thought it would be possible to do it without any additional conversion.
I do not write EAs, I just practice programming in Lua. I prefer mql for Expert Advisors but my broker has only quick.
...
I have another question. You once said that contango may be the size of central bank rate. But I have noticed a maximum of 2% above the price of the underlying asset. Or this value depends on how many days left until expiration and not the annual rate, but the rate per day multiplied by the number of days before expiration?
If you're too annoyed to change the code, write it in the INI file and use it.
Exactly, the SPOT + CB rate is at the very beginning of the (active) life of the futures,
and the contango will depend on the days to expiry.
Exactly, the SPOT + CB rate is at the very beginning of the (active) life of the futures,
and the contango will depend on the days to expiry.
I see, thank you very much.