ipparkos wrote: Tue Jun 17, 2025 9:55 am
comeinvest wrote: Mon Jun 16, 2025 4:32 pm
“There are only a few contracts at the bid/ask, and the spread is ~6-7bp” – You mean you converted the spread to a yield, and it was a 6-7 bps yield difference?
The bid and ask price for the SMC contract was something like 1316.1/1317.0 (making up numbers). The spread is 0.9/1317 ~ 7bp at the initial purchase of the contract. I remember that you mentioned these bid ask numbers not being reliable, so it may not mean much.
comeinvest wrote: Mon Jun 16, 2025 4:32 pm
I’m not sure what you are talking about regarding cash drag, because there is none if you follow the instructions in the first part of this thread. The recommended solution is FOP debit spreads.
This is my bad, sorry fort confusing the board. I was lazy, and instead of selling and allocating some of my portfolio to the collateral when I bought my futures contracts, I just used margin to buy treasuries to act as collateral (in taxable). This is slightly more inefficient I think, selling and buying a bit more futures to compensate for the t-bill position would be better. Because of this, I am leaking out the difference between the IBKR margin and the t-bill rate. From what you say, I understand that futures options box spreads are better compared to t-bills since they would have slightly more yield, right? I just found the post viewtopic.php?p=8265770&hilit=FOP#p8265770 where this was suggested suddenly on the thread, but it seems there was earlier discussion of this, I just cannot find it in the search. Do you have a link for the initial FOPs box spread discussion, or some other source? Thanks a lot!
comeinvest wrote: Mon Jun 16, 2025 4:32 pm
I think the S&P SmallCap 600 has only a slight value tilt – as far as I know it’s basically a market cap weighted index, except some companies with negative earnings are excluded. I doubt it’s worth dealing with an illiquid futures product for this. I recommend instead long EMD / short RTY which I have been doing for ages and which creates a slight factor tilt at near zero implementation cost (EMD calendar roll is currently ca. 0.2% above T-bills), while you are short GameStop and similar moonshot trash (from a factor perspective). You could also complement with long AVUV in your cash account if you have space, for a net mid/small cap value+quality tilt at rock-bottom net cost.
<s>I thought S&P600 itself has much better tilts compared to S&P400, actually comparable to DFA SCV.</s> That was wrong, I was checking the S&P600 SmallCap Value ETF IJS, instead of the “core” version IJR that would be close to SMC. IJR has some factor loadings, but not very intense. I had not considered the long/short strategy you mentioned, but is it much better?
comeinvest wrote: Mon Jun 16, 2025 4:55 pm
If you are adventurous, you could also try the Russell 1k Value and the Russell 2k Value futures. They are at least on the CME equity index roll page https://www.cmegroup.com/trading/equity … /main.html and the Russell 1k Value seems to have a decent implied financing cost.
People trash Russell2000 all the time, are these considerably better? S&P has these profitability screens which weed out the true garbage, which is quite nice.
Better than what? You were not getting anywhere with your S&P 600 futures.
