A strategy with which to get into shorts. Usually before the cut-off, on stocks that can be shorted, JUNE JULY Harvest - page 17
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You cannot sell a stock and buy a futures!
If the futures are in backwardation and if the shares have already been bought, you can sell them and buy the futures. Then, after expiration, you can get the stock back. But then there would be no dividend. You could do that with Sberbank, before they announced the rescheduling of the cut-off date the June futures were in backwardation, after the rescheduling it became contango pretty quickly. Those who kept up with the news from Sberbank or insiders could make good money on it. It was possible to sell the previously bought Uber shares and buy the futures, which were trading 8% cheaper before the rollover.
If the futures are in backwardation and if the shares were previously bought, you can sell them and buy the futures. Then, after expiration, you can get the shares back. But then there would be no dividend. You could do that with Sberbank, before they announced the rescheduling of the cut-off date the June futures were in backwardation, after the rescheduling it became contango pretty quickly. Those who kept up with the news from Sberbank or insiders could make good money on it. It was possible to sell the previously bought Uber shares and buy the futures, which were trading 8% cheaper before the carry.
By selling shares, not only do you forfeit dividends, but on the contrary, if dividends fall out while you hold the shares you sold (you held the shares until the share register closed - cut-off), you will pay them!
But that's not all!
After selling the shares, the broker buys them for you, the same amount, and turns on the counter, i.e. withholds interest from you
for the shares he (the broker) bought.
Here is an interesting situation for VTB-6.20, VTB-9.20
Forecast
VTB dividend history
2017 - 0.00117 RUB/share
2018 - 0.003453491 RUB/share
2019 - 0.001098678 RUB/share
Until today, the dividend has fallen on 6 futures, but this year's
6 expires on 18.06.2020.
The market also expects dividends on the 9th futures, but the expectations are much lower,
than analysts at BCS and Otretia are predicting.
I.e., if the dividends will be as forecasted by analysts, it is possible to earn up to 15% per annum.
If you enter the market on 6 futures, the earning will be 4.37% (this is already earning in the pocket), BUT
If VTB wants to close the register until 18.06.2020, the profit will increase several times!
That is why the programme is called "Div hunter".
Vitalii Ananev,@Alexey Kozitsyn
The strategy is very simple and is based on expiry
Futures price = (SPOT Price * number of shares in futures) / Number of shares in the SPOT lot = 0
Dividends are a bonus if they are declared unexpectedly and the futures are traded contango.
If the dividends are declared, the future is backwarded, and the profit is calculated with the dividends.
is counted with the dividends.
Contango futures price = price of SPOT + CB rate - this is a rule born out of the fact that
not all investors wanted to "freeze" their funds in the bank for a whole year,
and so the delta (Central Bank rate) of equity derivatives was born.
You can't sell shares and buy futures!
So, specifically in your case yesterday, you would lose backwardation at the cutoff of 9 futures at the time of the spot-futures pairing, but you would still receive 14% p.a. on account of the dividend? Right?
So, specifically in your case yesterday, you will lose backwardation at cut-off 9 of the futures at the time of the spot-futures pair, but you will still get 14% p.a. on account of the dividend? Right?
Exactly, but not 14%, but ~14.3%
Exactly, but at 14%, it's ~14.3%.
Thank you.
My VTB June futures are 1.02% spot difference, September futures are -0.86%. And it changes all the time.
My VTB June futures have a spot difference of 1.02%, September futures have a difference of -0.86%.
This is the yield (I assume) to expiry, not the annualised yield.
It's the yield (I assume) to expiry, not the annualized yield.
No, it's a scrip, it just calculates the difference between the futures price and the spot price and tabulates everything.
...
If you calculate the yield, divide 6 (Central Bank rate) by 365, you get the rate per day and multiply all that by the number of days remaining until expiry. For June futures, if the difference between futures and spot is more than 1.06% (6/365*65) it will be more than 6% per annum yield.
No, it's a script, it just calculates the difference between the futures price and the spot price and outputs everything in a table.
So the script is not working correctly.
Percentage per annum (including all commissions)