Slope of Hope Blog Posts

Slope initially began as a blog, so this is where most of the website’s content resides. Here we have tens of thousands of posts dating back over a decade. These are listed in reverse chronological order. Click on any category icon below to see posts tagged with that particular subject, or click on a word in the category cloud on the right side of the screen for more specific choices.

Hedging Update — Commodity ETFs

By -

Commodity ETF Update

Hey fellow Slopers,

A number that stood out when compiling the data for this post was the current cost of hedging the first gold ETF, GLD. Back in August, the cost of hedging it against a greater-than-20% drop over approximately the next 7 months was less than 0.95%; as of Monday, it was nearly 2.5%. The table below shows that, as well as the costs, as of Monday's close, of hedging several other commodity ETFs against greater-than-20% declines over the next several months, using optimal puts.

Comparisons

For the individual oil ETFs, I added the PowersShares DB Energy ETF (DBE) as a comparison, and for the individual agricultural commodity ETFs I added PowerShares DB Agriculture (DBA) as a comparison. First, a reminder about what optimal puts are, and why I've used 20% as a decline threshold; then, a screen capture showing the current optimal puts to hedge the comparison agricultural commodity ETF, DBA. 

(more…)

Internet Hedging Update

By -

Internet hedging update

A couple of things stood out when updating the hedging costs for this basket of Internet stocks. Again, it was still too expensive to hedge LinkedIn (LNKD) and Pandora Media, Inc. (P) against greater-than-25% drops over the next several months. Among the stocks for which there were optimal put option contracts available, Netflix (NFLX) was the most expensive to hedge — no surprise, given the awful numbers it released this week; the surprise to me was that there any optimal contracts for it. The table below shows that, as well as the costs, as of Wednesday's close, of hedging several other leading Internet stocks against greater-than-25% declines over the next several months, using optimal puts.

(more…)

Hedging Update — ETFs

By -

Hedging costs of Leading ETFs — in late June and now

Hey fellow Slopers,

In looking back at the hedging costs of the most widely-traded ETFs toward the end of June versus the same basket of ETFs on Tuesday, I figured they'd all be more expensive to hedge now. That turned out to be true of 9 out of 10 of them: the only one of those ETFs that is cheaper to hedge now is the iShares MSCI Japan Index (EWJ).

The two tables below show the costs of hedging EWJ and the other 9 ETFs against greater-than-20% declines over the next several months, using optimal puts, as of June 23rd (when the VIX S&P 500 volatility index was at 19.29), and as of October 18th (with the VIX at 31.56). First, a reminder about what optimal puts are, and why I've used 20% as a decline threshold; then, a screen capture showing the current optimal puts to hedge the one ETF with lower hedging costs now than in late June (EWJ).

(more…)

Hedging Update — Foreign Currency ETFs

By -

Hedging Foreign Currency ETFs

For this post, I looked at the hedging costs of a basket of foreign currency ETFs. Something that jumped out of me when running the numbers on them was the hedging cost of the CurrencyShares Aussie Dollar Trust ETF (FXA). Not only was it the most expensive of these currency ETFs to hedge; it was also more than twice as expensive to hedge as the CurrencyShares Euro Trust (FXE). Given the continuing crisis in the Eurozone, I found that interesting.

The table below shows the costs, as of Thursday's close, of hedging FXA, FXE, and 4 other foreign currency ETFs against greater-than-15% declines over the next several months.

(more…)

Hedging Update

By -

Hey fellow Slopers,

Below is a hedging update as of Friday's close. Before that, a quick housekeeping note. A few of you have asked in the comments of previous posts when we're adding the optimal collar capability to Portfolio Armor. The short answer is that we plan to add that and optimal calls to hedge short positions later this quarter, but if you'd like more details on what we've got planned, see this post, which also includes a coupon code for the site.

(more…)