今年看到的第一个较为无风险的0.5套利

老虎肖西耶

2018-06-02

$Direxion每日三倍做多标普生物(LABU)$

$SPDR S&P Biotech ETF(XBI)$

开盘之后半小时左右出现过短暂的xbi和labu都在1%左右涨幅，然后labu略低于xbi的情况。

然后是：

说起来，杠杆etf不能保证每天是三倍。不过也没研究是不是月底结算杠杆融资费用还是指数更新换股影响的原因。我总觉得比例不应该这么低。

做多labu，做空xbi。

收盘时刻。

labu与xbi的比值从略超过1到接近1.7，结果是确实套到了这个收益，然而杠杆比例没有恢复到3倍，担心会出什么事件，所以收盘前就跑了。这个套利的收益一天接近2%（用足日内四倍杠杆），相当可以了。

其实期权里面（包括国内外）经常有真正的无风险套利。然而其年化收益还比不上国内货币基金，不做也罢。

免责声明：上述内容仅代表发帖人个人观点，不构成本平台的任何投资建议。

精彩评论

大熊猫
2018-06-02
大熊猫
对于看不见长文章的IT友们，建议看最后一句。深刻点题。。。😇😇😇😇
- 老虎肖西耶回复夏夏夏:
  深刻点题？(●—●)
- 夏夏夏:
  😂
simons的期权实验室
2018-06-02
simons的期权实验室
FB期权今年出现过无风险套利（年化15%+）。
- hedgefund888:
  请解释一下当时是怎么15%？多谢指教
- 老虎肖西耶:
  这个的年化不用杠杆超过了100%。然而这个的风险大于期权
果子哥家老汉
2018-06-02
果子哥家老汉
天下哪有没风险的事。从你买卖的那一刻起，就有风险了。
- 老虎肖西耶:
  绝对意义上是没有，但在各方遵守交易所规则的情况下，是真的有的，而且还很多。只可惜收益率太低，因此机构都不去套这个利。
allen618
2018-06-03
allen618
这不会天天这样吧，
- 老虎肖西耶:
  不会，今天就恢复三倍关系了
不要给我谈梦想
2018-06-02
不要给我谈梦想
比期权还复杂，看不憧，我就不买了
- 老虎肖西耶:
  这个其实没有期权复杂……简单来说就是看比例
老虎肖西耶
2018-06-02
老虎肖西耶
题目写错了。。。不知道为什么多了个0.5……本意是想说这个收益如果不用杠杆的话，套利收益是0.5%。打到题目里面没法修改了。

发表看法

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","text":"比期权还复杂，看不憧，我就不买了\n ","html":"比期权还复杂，看不憧，我就不买了\n ","likeSize":0,"commentSize":1,"subComments":[{"id":777796,"gmtCreate":1527946951207,"gmtModify":1527946951207,"authorId":45217332003648,"author":{"id":45217332003648,"authorId":45217332003648,"name":"老虎肖西耶","avatar":"https://static.laohu8.com/712181aa69c6df5fe1fa11fa8f9126be","vip":1,"crmLevel":2,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":197369,"type":1,"supId":777411,"prevId":0,"content":"这个其实没有期权复杂……简单来说就是看比例","text":"这个其实没有期权复杂……简单来说就是看比例","html":"这个其实没有期权复杂……简单来说就是看比例"}],"verified":10,"allocateAmount":0,"commentType":"valid","coins":0,"score":0},{"id":777251,"gmtCreate":1527884397606,"gmtModify":1527884397606,"authorId":45217332003648,"author":{"id":45217332003648,"authorId":45217332003648,"name":"老虎肖西耶","avatar":"https://static.laohu8.com/712181aa69c6df5fe1fa11fa8f9126be","vip":1,"crmLevel":2,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":197369,"type":1,"supId":0,"prevId":0,"content":"题目写错了。。。不知道为什么多了个0.5……本意是想说这个收益如果不用杠杆的话，套利收益是0.5%。打到题目里面没法修改了。","text":"题目写错了。。。不知道为什么多了个0.5……本意是想说这个收益如果不用杠杆的话，套利收益是0.5%。打到题目里面没法修改了。","html":"题目写错了。。。不知道为什么多了个0.5……本意是想说这个收益如果不用杠杆的话，套利收益是0.5%。打到题目里面没法修改了。","likeSize":0,"commentSize":0,"subComments":[],"verified":10,"allocateAmount":0,"commentType":"valid","coins":0,"score":0}],"isCommentEnd":false,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/197369"}