A strategy with which to get into shorts. Usually before the cut-off, on stocks that can be shorted, JUNE JULY Harvest - page 2

 
Vitalii Ananev:

I see. So we don't have the shares, we just sell the futures before the cut-off, then we buy them back.

Yes, if you're sure the stock will fall.) And you don't owe anybody anything)) And you need less money for the futures than for the shares, and the profit/loss is the same.

And where will it go? - You do not know where it will go.

You can do the same thing, but even better with options, or even a combination option-futures.

 
Vitalii Ananev:

I see. So, we have no shares, we sell just the futures before the cut-off, then we buy them back.

At the time of dividend announcement = the futures "go into" backwardation, i.e. the value is lower than the stock.
At the time of cut-off = the stock falls by the dividend amount and the futures stands still.
No profit = commission expense.

 
Yuriy Zaytsev:


This mechanism works perfectly

A couple of days - maybe three to four days before the cut-off date - we go short on the instrument and get a wonderful gain

exampleMRKV , cut-off date 10.06.2019

Yuri, you have not described the strategy correctly. My strategy works like this: on a liquid paper with good divisions in two months I start to buy a paper gradually on the shoulders to the main package and a day or two before the cut-off I start to discount these shoulders, but in no case shorting. We have a profit after the cut-off, which we gradually redeem this drawdown, etc. ....

 
Sergey Novokhatskiy:

Yuri, you have not correctly described the strategy. My strategy works like this: on liquid paper with good divisions in two months I start to buy gradually on the shoulders of the main stock and a day or two before the cut-off I start to discount these shoulders, but in no case shorting. We have a profit after the cut-off, which we gradually redeem this drawdown, etc. ....

it's a different strategy - also quite interesting

 
Judging by the dynamics of June 10/11 on SRU9 (fall futures on Sber), even despite the initial backwardation to the share price, still the futures price has fallen. I.e., the size of the gap has exceeded the negative spread.
However, I once watched a div gap on Lukoil, but it was flat on the chip.
Apparently, there is no such thing as a one-off.
We need to do some extensive research.
Does anybody have a summary table of historical dates of divergences or an understanding of how to form it?

 
Sergey Lebedev:
Judging by the dynamics of June 10/11 on SRU9 (fall futures on Sber), even despite the initial backwardation to the value of the stock, still the futures price went down. In other words, the gap size exceeded the negative spread.
However, I once watched a div gap on Lukoil, but it was flat on the chip.
Apparently, there is no such thing as a one-time thing.
We need to do some extensive research.
Does anyone have a summary table of historical dates of divergences or an understanding of how to form it?

The historical tables are available, but this information is usually on sites which have links to the broker, and the moderators are glad to ban such links.

 
Going Short on ALL of our market, shorted RIU9 today from 133650. Target is 127700 as a minimum of a summer correction
 
Yuriy Zaytsev:


This mechanism works perfectly

A couple of days - maybe three to four days before the cut-off date - we go short on the instrument and get a wonderful gain

exampleMRKV , cut-off date 10.06.2019

Yep, and pay dividends :)) Not to you, but to you.

I give you the gift of the boozy "Div hunter" strategy

The gist of the strategy is this:

As you know the futures relative to the spot, on average, trades with a gap equal to the % rate of the central bank

We buy shares, sell futures and have an income of about 7% per annum (no bank will give so much for 3 months).

Not much, of course, but there are companies which pay dividends unexpectedly (for example, Magnit SA).

Very often (see history) they pay repeatedly, i.e. on a 9 futures can "fall" dividends (last were this month = 166,78 rubles per 1 share)

Then at expiry we get ~7%p.a. + dividends

Risks, in this case = 0 !

Added

I, for example, started buying MGNT today


 

You could also buy Sber (regular) or Mosbirch, the interest is higher there than the 6.989% I buy, but the probability of

of dividends from Magnit is an order of magnitude higher.


 
prostotrader:

Yeah, and pay dividends :)) Not you, but you.

I give you the "Div hunter" strategy.

The essence of the strategy is as follows:

As you know the futures are relative to the spot, in average, traded with a gap equal to the % rate of the central bank.

We buy shares, sell futures and have an income of about 7% per annum (no bank will give so much for 3 months).

Not much, of course, but there are companies which pay dividends unexpectedly (for example, Magnit SA).

Very often (see history) they pay repeatedly, i.e. on a 9 futures can "fall" dividends (last were this month = 166,78 rubles per 1 share)

Then at expiry we get ~7%p.a. + dividends

Risks, in this case = 0 !

Added

I, for example, started buying MGNT today.


I was describing a case where a particular security is not in the portfolio. A couple of days before the cutoff we go into a short. What do you mean pay dividends?

Reason: