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| (To be read while listening to Countdown) |
A TFP exclusive, it's been awhile since we published our last Margin Weighted Dollarized Average True Range (mwDATRTM) analysis of the futures markets. In the past few months, volatility has expanded, the exchanges have played havoc with margin requirements, and the world continues to revolve around government debt reactions.
My target? You really want to know? I'm thinking $1325. {ducks oranges and rotten tomatoes}
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.
