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  • ETF Cap Arb - 20101029

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    CreditTrader
    99 views1 page
    Still doing nicely on this trade. In at 10/15 at -5.9 and now -$3.2. Like hold into next week

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    ETF Cap Arb_20101029

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    Still doing nicely on this trade. In at 10/15 at -5.9 and now -$3.2. Like hold into next week

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    99 views1 page

    ETF Cap Arb - 20101029

    Uploaded by

    CreditTrader
    Still doing nicely on this trade. In at 10/15 at -5.9 and now -$3.2. Like hold into next week

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    125 40

    35
    120
    30

    115 25

    20
    110

    15

    105 Relative Value (+ive equals Equity cheap)


    10
    S&P (SPY)

    100 Corporate Bond Spread Proxy (LQD - IEF beta/duration adjusted) 5

    0
    95
    -5

    90 -10
    Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10

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