Closed at around 3.4%
Interesting for a 'free money' till Oct trade.
1.711
=2.82*0.55+0.25-(0.115*0.55*1.42)
(Div paid @ 142% thanks to franking)
PRG borrow is still pretty darn cheap
Yeah, I tried to get out around lunch time but it was too hard. By the time my AMM leg was about to get filled VOC would move...ended up just holding on. Will cost a bit more in financing, but save on the brokerage.
Tomorrow would be nice, but I think that tomorrow we just get VOCDA shares...then we will have VOCDA longs and VOC shorts until the 8th July - then implementation occurs and they offset each other. So a bit of sitting around to do. Happy to be wrong though!The position should settle tomorrow (assuming you went with CFDs), that's what I would expect anyway.
Would have been nice to triple the size this afternoon, pitty my broker didn't have any borrow left...(not too mention the tricky depth).Roughly 2% net return for holding overnight and risk-free, can it be any easier?
Closed at around 3.4%
Interesting for a 'free money' till Oct trade.
1.711
=2.82*0.55+0.25-(0.115*0.55*1.42)
(Div paid @ 142% thanks to franking)
PRG borrow is still pretty darn cheap
I think this is the first day of the pair so perhaps the sellers in SKE simply overwhelmed the arb'ers. It should move back soon enough.
Having said that, the last few merger arbs have really been strange. AMM/VOC, TAN/WBA and NVN/FDC all ended with meaningful premium, and traded pretty far apart during the process.
Nonetheless, this pair should be a good arb. We have only a very limited amount of PRG borrow, unfortunately.
The position should settle tomorrow (assuming you went with CFDs), that's what I would expect anyway. Roughly 2% net return for holding overnight and risk-free, can it be any easier?
I was wrong. All done!
That's what my broker told me as well, but I'm still seeing the AMM and VOC positions intact. Have they been netted off for you?
For a small fee, I can return some of my hoard...
I expect more availability once it goes ex-div
Yep, did this with FP. All gone from my screen...
It turned out to be a stuff-up on their side, hope it's sorted now.
No idea what's happening to WOW today, putting on WES/WOW for now
Saw something about KKR running numbers on a t/o.
I would think this is highly unlikely, but explains the outperformance...
One of the more wild days I've seen in a while. REITs going ex-div combined with a near 100pt down day.
slb?Definitely. I was too busy looking at all the ex-divs amongst my pairs and totally forgot about the WOW rumour. Would have just put a slb on open and make chops.
Oh well.
Here is an idea I had last night, haven't had time to test it out yet but thought it'd be fun to share.
Each day/week/month generate volatility adjusted pairs for each of the 300 stocks in the S&P ASX300 against the index (ETF proxied) itself (e.g CBA:VAS, WOW:VAS, BHP:VAS, etc) with the baseline vol being the index historical volatility.
e.g. if VAS is running 15% annualised historical volatility and BHP has 30% annualised historical volatility you would weight the pair as: $0.5 in BHP for every $1 in VAS.
Hold 100% of equity in long VAS and each day/week/month form a portfolio of (for example) the top 10% (30 stocks) that are the most prime for mean reversion to short on leverage such that the shorts correctly match the long index position.
As a random example, I calculate the 21 day annualised historical volatility for VAS (using yesterdays close) to be 14.0%. The same measure for QAN is 24.8%. So we will look to short $0.56 (divided by 30) of QAN for every $1 of VAS we hold long. How do we rank those stocks? I think most short term oscillators would do a fine job, for example you could rank the pairs by their 2-5 day RSI or "percent ranked" 2-5 day ROC, etc. So assuming the pair is QAN:VAS then you would short when the RSI went above, e.g., 50% or look to short the 30 pairs with the highest ranked RSI.
View attachment 63151
Not a good day, got burnt by AIO's takeover proposal, but from the implied offer price, things could have been worse, oh well..
Just when I was feeling really good and confident about myself... I get the worst day ever in the first day of the new financial year.
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