Jump to content

Calculating Overnight charges vs Futures


Recommended Posts

Hi, 

I'm new to the forums and I'm looking for some assistance in calculating the charges applied to a trade depending on if it was placed on CASH market vs Futures.
The market I'm looking at is the VIX Volatility Index. My understanding is that Futures markets do not incur an overnight charge as this is build into the spread. 
Can some one assist in calculating a charge for both Overnight vs Futures on the VIX?

Overnight

Say the VIX is trading at £20.
We are putting our stake at £50 per point.

Based on what I've read from the link below, the formula should be:
https://www.ig.com/uk/help-and-support/spread-betting-and-cfds/fees-and-charges/why-is-overnight-funding-charged-and-how-is-it-calculated-

image.png.449498c61cb76487682da2246edb28f2.png

In this instance (Assuming a LIBOR rate of 0.48% to keep it in line with the article above) :
=50*20*(2.5+0.48)/365

Am I correct in saying this should be 0.08 so £0.08 overnight charge for the price/£ per Point above?
This seemed reasonable until I read this post here where he was being charged ~£100 per night where as my calculations show it should have been ~£4:

Futures

For the futures side of things, I based it on information from this page:
https://www.ig.com/uk/help-and-support/spread-betting-and-cfds/fees-and-charges/what-are-igs-indices-spread-bet-product-details

The spread shows as 0.1 which using the same Price of £20 and £ per point of £50 works out at £5

The charges for the overnight seem somewhat excessive compared to the futures which make my think my calculations are incorrect.
My goal is to determine at which point, the futures market is more suitable depending on how long I hold my trade.
Any help is appreciated. If anyone is aware of any kind of calculator that already does this, let me know - I couldn't find any surprisingly.

Thanks.

 

Link to comment
9 hours ago, Spook1304 said:

Hi, 

I'm new to the forums and I'm looking for some assistance in calculating the charges applied to a trade depending on if it was placed on CASH market vs Futures.
The market I'm looking at is the VIX Volatility Index. My understanding is that Futures markets do not incur an overnight charge as this is build into the spread. 
Can some one assist in calculating a charge for both Overnight vs Futures on the VIX?

Overnight

Say the VIX is trading at £20.
We are putting our stake at £50 per point.

Based on what I've read from the link below, the formula should be:
https://www.ig.com/uk/help-and-support/spread-betting-and-cfds/fees-and-charges/why-is-overnight-funding-charged-and-how-is-it-calculated-

image.png.449498c61cb76487682da2246edb28f2.png

In this instance (Assuming a LIBOR rate of 0.48% to keep it in line with the article above) :
=50*20*(2.5+0.48)/365

Am I correct in saying this should be 0.08 so £0.08 overnight charge for the price/£ per Point above?
This seemed reasonable until I read this post here where he was being charged ~£100 per night where as my calculations show it should have been ~£4:

Futures

For the futures side of things, I based it on information from this page:
https://www.ig.com/uk/help-and-support/spread-betting-and-cfds/fees-and-charges/what-are-igs-indices-spread-bet-product-details

The spread shows as 0.1 which using the same Price of £20 and £ per point of £50 works out at £5

The charges for the overnight seem somewhat excessive compared to the futures which make my think my calculations are incorrect.
My goal is to determine at which point, the futures market is more suitable depending on how long I hold my trade.
Any help is appreciated. If anyone is aware of any kind of calculator that already does this, let me know - I couldn't find any surprisingly.

Thanks.

 

Hi @Spook1304,

To calculate the overnight funding for VIX you will need to use the formula : Bet size x Price x Swap Bid/Offer  ( Bid for short and offer for long)

image.png

 

For further assistance please reach out to helpdesk.uk@ig.com

All the best - Arvin

Link to comment
4 hours ago, ArvinIG said:

Hi @Spook1304,

To calculate the overnight funding for VIX you will need to use the formula : Bet size x Price x Swap Bid/Offer  ( Bid for short and offer for long)

image.png

 

For further assistance please reach out to helpdesk.uk@ig.com

All the best - Arvin

Thanks Arvin.

So to stick to the example above:

VIX is trading at £20.
Bet set to £50 per point.
open a LONG position

this would result in:
Bet size x Price x Swap Offer 

50 x 20 x -0.0763
76.36

Surely thats £0.76 and not a £76 overnight fee to hold a £50 per point position overnight? 
Can you post a link to where you got that formula?

Futures
For the futures version of the same trade, with the current spread of 0.2, you pay £10 if you buy and instantly sell (using the same parameters as above) which seems reasonable. If the Contract gets to expiration (currently Sep 2021), I assume the only cost for the rollover is the spread to close the existing contract and re-open the new one?

So 
Sep 21 -  18.73 / 18.93
Oct 21 - 20.98 / 21.18

My current Sep 21 contract would be closed at price 18.73 and a new Oct 21 contract opened at 21.18 resulting in a loss/fee of £122.50. 
 

Thanks again for your assistance. 

Link to comment
17 hours ago, Spook1304 said:

Thanks Arvin.

So to stick to the example above:

VIX is trading at £20.
Bet set to £50 per point.
open a LONG position

this would result in:
Bet size x Price x Swap Offer 

50 x 20 x -0.0763
76.36

Surely thats £0.76 and not a £76 overnight fee to hold a £50 per point position overnight? 
Can you post a link to where you got that formula?

Futures
For the futures version of the same trade, with the current spread of 0.2, you pay £10 if you buy and instantly sell (using the same parameters as above) which seems reasonable. If the Contract gets to expiration (currently Sep 2021), I assume the only cost for the rollover is the spread to close the existing contract and re-open the new one?

So 
Sep 21 -  18.73 / 18.93
Oct 21 - 20.98 / 21.18

My current Sep 21 contract would be closed at price 18.73 and a new Oct 21 contract opened at 21.18 resulting in a loss/fee of £122.50. 
 

Thanks again for your assistance. 

Hi @Spook1304,

You can find calculation of VIX overnight funding at the bottom of this page.

If you need further assistance it would be best to contact the helpdesk.uk@ig.com

I hope that it helps.

All the best - Arvin

Link to comment

Create an account or sign in to comment

You need to be a member in order to leave a comment

Create an account

Sign up for a new account in our community. It's easy!

Register a new account

Sign in

Already have an account? Sign in here.

Sign In Now
  • image.png

  • Posts

    • You all will agree with me that many of us tends to focus on big names like BTC, ETH, SOL, and XRP. I've followed this trend too. But lately, I've realized there's a whole world of opportunities beyond these mainstream coins. Taking a closer look at the market: BTC and ETH haven't doubled since the start of 2024. Meanwhile, some lesser-known crypto projects have shot up by 400% and more. I am not talking about memecoins  Just today while reading an article about ONDO and ZEEBU published by Bitget, I was amazed to see the incredible growth these two tokens have undergone in the past few months. While ONDO deals with tokenized real-world assets, ZEEBU is a loyalty token for smoother global transactions, rewarding users along the way. Both have seen incredible growth recently. Sure, holding BTC has its perks, but tokens like ONDO and ZEEBU are gaining traction fast. They've already hit billion-dollar market caps from humble beginnings. It seems like these underdog projects might be the ones to watch during this bullish phase. But the challenge remains: how do we identify gems in this evolving landscape?
    • Dopamine emerges as a beacon of innovation in the world of cryptocurrency management, offering a non-custodial, secure, and anonymous mobile app wallet. With over two million downloads and a robust user base, Dopamine is reshaping the landscape of decentralized finance (DeFi) on both Android and iOS platforms. Let's delve into the features and functionalities that make Dopamine a must-have tool for navigating the cryptocurrency market. Key Features: 1. Comprehensive Portfolio Tracking: Dopamine's native token, $DOPE, empowers users to monitor their favorite projects from a vast collection of over 10,000 coins, ensuring informed decision-making in the dynamic crypto market. 2. Enhanced Security Measures: With built-in Anti-Money Laundering services, Dopamine enables users to safeguard their assets by identifying potential fraud and assessing risk scores associated with their wallets. 3. Real-Time Market Insights: Stay ahead of the curve with Dopamine's ability to track market trends and identify coins making significant moves, ensuring users remain informed and proactive in their investment strategies. 4. Cross-Chain NFT Transactions: Seamlessly send and receive NFTs across various blockchains, including Ethereum, BSC, Fusion, and more, providing users with unparalleled flexibility and interoperability. 5. Efficient Information Management: Dopamine simplifies data management by allowing users to save essential information and access it instantly, streamlining their crypto journey with convenience and ease. 6. Convenient Fiat On-Ramp: Facilitating seamless transactions, Dopamine enables users to buy crypto directly from their credit or debit card within the app, eliminating the need for multiple platforms and intermediaries. 7. DeFi Gaming Integration: Dive into the exciting world of decentralized finance gaming with Dopamine, offering users access to a diverse range of DeFi games directly from the app, adding a touch of entertainment to their crypto experience. With its innovative features, commitment to user empowerment and upcoming listing on Bitget exchange, Dopamine stands as a revolutionary platform that caters to the diverse needs of cryptocurrency enthusiasts. As the cryptocurrency market continues to evolve, It remains at the forefront, providing users with a secure, versatile, and intuitive solution for managing their digital assets and exploring new horizons in decentralized finance.
    • Name of stock: Adventus Mining Name of Stock Exchange: TSX Leverage or Share dealing: Share dealing Ticker: ADZN Country of stock: Canada
×
×
  • Create New...
us