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Important Information – 3SRR

Posted:
Topic: Industrials
Publication Type: Articles

 

3SRR Performance, 9th November

Background 

GraniteShares 3x Short Rolls-Royce Daily ETP is a collateralised, Exchange-Traded Product (ETP).

The ETP tracks, excluding fees and other adjustments, the performance of the Solactive Daily Leveraged 3x Short Rolls-Royce Holdings plc Index that seeks to provide -3 times the daily performance of Rolls-Royce Holdings plc shares (the Index).

In order to prevent the security from finishing worthless during a given trading day, the index has a stop loss mechanism that is activated when the underlying security moves by more than 16.67%.

On 9 November, the Rolls-Royce share price moved significantly, up by 100% during the day at one point, which resulted in the stop loss mechanism being triggered three times during the course of the day.

The rebalancing and the subsequent moves in the Rolls-Royce share price resulted in the Value per ETP for 3SRR on 9 November of GBp 0.302597, i.e. less than a 1/3 of 1p.

Details on how the implied Value per ETP was calculated on 9 November follow:

 

Positions at close on 06 November
Rolls-Royce share price: GBp 69.56
Solactive Daily Leveraged 3x Short Rolls-Royce Holdings level:  4.29729 points
3SRR Value per ETP: GBp 22.07
Rolls-Royce share price stop loss level:   GBp 81.16 [ = GBp 69.56 * (1 + 16.67%)]

 

Trading 09 November – 11:57:44 – 1st Stop Loss
Rolls-Royce share quoted above GBP 81.16 at 11:57:44, which triggered an 10-minute observation period at the end of which the Index Sponsor used a Rolls-Royce reference price of GBp 88.98.
Index level after restrike: 0.68966 points [= 4.29729 points * ( 1 – 3 * ( 88.98 /69.56 - 1) ]
Implied Value per ETP Security GBp 3.5324 [ GBp 22.07 * ( 0.68966 points / 4.29729 points) – 0.04% fees]
Updated Rolls-Royce share price stop loss level:  GBp 103.81 [ = GBp 88.98 * (1 + 16.67%)]

 

Trading 09 November – 14:26:13 – 2nd stop loss
Rolls-Royce share quoted above GBP 103.813 at 14:26:13, which triggered an 10-minute observation period at the end of which the Index Sponsor used a Rolls-Royce reference price of GBP 106.025.
Index level after restrike:  0.29333 points [ = 0.68966 points * ( 1 – 3 * ( 106.025 /88.98 - 1) ]
Implied Value per ETP Security:   GBp 1.502 [ GBp 3.5324 * (0.29333 / 0.68966)]
Updated Rolls-Royce share price stop loss level:  GBp 123.70 [ = GBp 106.025 * (1 + 16.67%)]

 

Trading 09 November – 15:16:58 – 3rd stop loss
Rolls-Royce share price quoted above GBP 123.70 at 15:16:58, which triggered an 10-minute observation period at the end of which the Index Sponsor used a Rolls-Royce reference price of GBP 137.45.
Index level after restrike:  0.03251 points [ = 0.29333 points * ( 1 – 3 * ( 137.45 / 106.025  - 1) ]
Implied Value per ETP Security:   GBp 0.1665 [ = GBp 1.502  * ( 0.03251 / 0.29333)]
Updated Rolls-Royce share price stop loss level:  GBp 160.36 [ = GBp 123.70 * (1 + 16.67%))

 

09 November – End of day
Rolls-Royce share price closed at GBP 1.0000.
Index level at close:  0.05908 points [ = 0.03251 points * ( 1 – 3 * ( 1.0000 / 1.3745  - 1) ]
Implied Value per ETP Security:   GBp 0.3026 [ = GBp 0.1665 * ( 0.05908 / 0.03251 )]

 

3SRR Performance, 10th November

Positions at close on 09 November
Rolls-Royce share price: GBp 100.00
Solactive Daily Leveraged 3x Short Rolls-Royce Holdings level:  0.05908 points
3SRR Value per ETP: GBp 0.302597 
Rolls-Royce share price stop loss level:   GBp 116.67 [ = GBp 100.00 * (1 + 16.67%)]

 

Trading 10 November – 08:05:02 – Stop Loss
Rolls-Royce share quoted above GBP 116.67 at 08:05:02, which triggered a 10-minute observation period at the end of which the Index Sponsor used a Rolls-Royce reference price of GBp 120.20.
Index level after restrike: 0.02324 points [= 0.05908 points * ( 1 – 3 * ( 120.20 /100.00 - 1) ]
Implied Value per ETP Security GBp 0.11898 [ GBp 0.3026  * (0.02324 points / 0.05908 points) – 0.01% fees]
Updated Rolls-Royce share price stop loss level:  GBp 140.237 [ = GBp 120.20 * (1 + 16.67%)]

 

10 November – End of day
Rolls-Royce share price closed at GBP 1.07.
Index level at close:  0.03089 points = [ 0.02324 points * ( 1 – 3 * ( 1.07 / 1.2020  - 1) ]
Implied Value per ETP Security:   GBp 0.15815 = [ GBp 0.11898 * ( 0.03089/ 0.02324 )]

 

3SRR Performance, 11th November

Positions at close on 10 November
Rolls-Royce share price: GBp 107.00
Solactive Daily Leveraged 3x Short Rolls-Royce Holdings level:  0.03089 points
3SRR Value per ETP: GBp 0.158155
Rolls-Royce share price stop loss level:  GBp 124.83 = [ GBp 107.00 * (1 + 16.67%)]

 

11 November – End of day
Rolls-Royce share price at closed GBp  98.42
Index level at close:  0.03831 points  = [ 0.3089 points * ( 1 – 3 * ( 98.42 / 107.00  - 1) ]
Implied Value per ETP Security:   GBp 0.196122  = [ GBp 0.158155 * ( 0.0383007/0.03089   ) - .01% fees ]

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