The decay factor only applies if you hold them overnight.
However, intraday, there are also discrepencies depending between
2X, 3X and underlying index.
One more thing. URE closed at 3.43 and a penny move there is a
much bigger percentage of the trade than in SRS. Any slippage and
commission will be magnified. Also any move is slower to come.
If instead of SRS short you took URE long today on the 15 minute,
you would have made 1.7% vs. 2.5% (assuming no slippage or
commission). Difference would have been larger with slippage and
commission.
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SRS/URE
SRS mech systems
Posted by mamaduck on 6th of Jul 2009 at 04:41 pm
The decay factor only applies if you hold them overnight. However, intraday, there are also discrepencies depending between 2X, 3X and underlying index.
One more thing. URE closed at 3.43 and a penny move there is a much bigger percentage of the trade than in SRS. Any slippage and commission will be magnified. Also any move is slower to come. If instead of SRS short you took URE long today on the 15 minute, you would have made 1.7% vs. 2.5% (assuming no slippage or commission). Difference would have been larger with slippage and commission.