Leveraged ETF 討論區 (40)

均價$54 tqqq幾時先返到家鄉

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多謝教學

依度decay係用best possible price嚟define
假設Index = 1
TQQQ price = 1
SQQQ price = 1

以下best possible price全部都係用index = 1嚟計。
Original best possible price of TQQQ = 1
Original best possible price of SQQQ = 1

Percentage change in index = x

new TQQQ price = (1+3x)
new SQQQ price = (1-3x)

new best possible price of TQQQ = (1+3x)*(1+1/(1+x)-1)^3
new best possible price of TQQQ = (1-3x)*(1+1/(1+x)-1)^-3

If x = 0.1,
new best possible price of TQQQ = (1+3*0.1)*(1+1/(1+0.1)-1)^3 = 0.9767 (decay = 2.33%)
new best possible price of SQQQ = (1-3*0.1)*(1+1/(1+0.1)-1)^-3 = 0.9317 (decay = 6.83%)

If x = 0.03,
new best possible price of TQQQ = (1+3*0.03)*(1+1/(1+0.03)-1)^3 = 0.9975 (decay = 2.50%)
new best possible price of SQQQ = (1-3*0.03)*(1+1/(1+0.03)-1)^-3 = 0.9944 (decay = 0.56%)

上面x = 0.03嘅TQQQ decay應該係0.25%，唔係2.5%，打錯咗
啲數式messy啲但應該無錯

改返#736啲typo先

依度decay係用best possible price嚟define
假設Original Index = 1
Original TQQQ price = 1
Original SQQQ price = 1

以下best possible price全部都係用index = 1嚟計。
Original best possible price of TQQQ = 1
Original best possible price of SQQQ = 1

Percentage change in index = x
new index = (1+x)

new TQQQ price = (1+3x)
new SQQQ price = (1-3x)

new best possible price of TQQQ = (1+3x)*(1+1/(1+x)-1)^3
new best possible price of SQQQ = (1-3x)*(1+1/(1+x)-1)^-3

If x = 0.1,
new best possible price of TQQQ = (1+3*0.1)*(1+1/(1+0.1)-1)^3 = 0.9767 (decay = 2.33%)
new best possible price of SQQQ = (1-3*0.1)*(1+1/(1+0.1)-1)^-3 = 0.9317 (decay = 6.83%)

If x = 0.03,
new best possible price of TQQQ = (1+3*0.03)*(1+1/(1+0.03)-1)^3 = 0.9975 (decay = 0.25%)
new best possible price of SQQQ = (1-3*0.03)*(1+1/(1+0.03)-1)^-3 = 0.9944 (decay = 0.56%)