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By leviramsey (Mon Sep 17, 2007 at 09:39:48 PM EST) football, soccer, betting, betfair, quant (all tags)

Positions in the "to win the Premier League" market from last time, along with current prices (buy prices rounded up, sell prices rounded down; prices quoted from Betfair on the 0-100 scale at $10 per contract)

  • CHELSEA: short 55 contracts (avg price 32.8): buy price is 27.4 => paper profit of $29.70
  • MAN UTD: short 78 contracts (avg price 23.2): buy price is 28.6 => paper loss of $42.12
  • ARSENAL: long 21 contracts (avg price 11.4): sell price is 16.6 => paper profit of $10.92
  • NEWCASTLE: long 33 contracts (avg price 0.5): sell price is 0.2 => paper loss of $0.99
  • VILLA: long 55 contracts (avg price 0.2): sell price is 0.1 => paper loss of $0.55
  • BLACKBURN: long 55 contracts (avg price 0.2): sell price is 0.2 => no change

Net paper loss: $3.04

Over the weekend, Arsenal's demolition of Spurs and Blackburn's departure from SW6 with a point boosted the portfolio, whilst Man Utd's victory and Newcastle's surprise defeat at the hands of Derby[!!!!] damaged the portfolio. The cash reserves stand at $3.57 before the injection of $1,000 for this round of trading.

Arsenal are now odds-on in my pricing model. However, given the run-up in price (nearly 50%), I am torn between building the position further and taking some profits. So to balance things out, I will simply hold steady this week on that contract.

SELL 43 CHELSEA at 27.0. Dropping points at home is not the sort of thing that clubs with title chances do. While they are only 2 points adrift of first-place Arsenal, comparison between this year and last year's fixtures is decidedly unfavorable (from 5 comparable fixtures, Chelsea are 4 points and 5 net goals worse than last year). In my model, they lost about a third of their value over the weekend; they'll likely need an away win against another Top 4 side or a couple of home wins against the same to convince me to buy them except as a short-covering exercise. The reduced sale this week is largely due to the decline in price.

SELL 42 MAN UTD at 28.1. United finally got their first meaningful win of the season, and it boosted their valuation by more than 50%. That doesn't change the fact that they are still overvalued and the short presents an attractive risk/reward condition.

SELL 46 LIVERPOOL at 25.3. When last I posted I said I saw "Le Arse just beating" the Merseyside franchise for the title. The margin has increased a bit since then, but the Liverpool price hasn't. Memo to Rafa: this isn't a two-legged cup competition (and unlike Spain, the first tiebreaker isn't a season series step)... away draws aren't good by any means.

BUY 22 MAN CITY at 0.6. Sven is a better-than-average league manager. I think Man City have at least one or two more significant results that will boost their price to provide a nice exit point.

BUY 32 BLACKBURN at 0.3. No lucky goals over the weekend, but they came away with a point, something few clubs will leave Stamford Bridge with. Largely due to Arsenal's big run-up, they've given up a bit of intrinsic value, but they're still undervalued.

BUY 43 VILLA at 0.2. Price hasn't really moved since last week. Intrinsic value has dropped a bit, thus the reduced purchase. As with Citeh, I see a possible win streak increasing the price and providing an exit point.

BUY 43 WEST HAM at 0.2. I hate to divide my claret-and-blue-tinted dollars and put myself in a position of pulling for the Cockney, shirt-stealing, cheating thugs, but Wham! have already notched a pair of 3-0 victories; if they can get a couple more, their contracts can make a nice move.

In total, that's $963.50 risked, and now the positions are:

  • CHELSEA: short 98 contracts with $683.50 risked
  • MAN UTD: short 120 contracts with $901.12 risked
  • ARSENAL: long 21 contracts with $23.94 risked
  • NEWCASTLE: long 33 contracts with $1.65 risked
  • VILLA: long 98 contracts with $1.96 risked
  • BLACKBURN: long 77 contracts with $2.06 risked
  • LIVERPOOL: short 46 contracts with $343.62 risked
  • MAN CITY: long 22 contracts with $1.32 risked
  • WEST HAM: long 43 contracts with $0.86 risked
  • Cash balance: $40.07

These positions will play out as follows:

  • Chelsea win the league: loss of $300.03
  • Man Utd: loss of $520.03
  • Arsenal: profit of $889.97
  • Newcastle: profit of $1,009.97
  • Villa: profit of $1,659.97
  • Blackburn: profit of $1,449.97
  • Liverpool: profit of $219.97
  • Man City: profit of $899.97
  • West Ham: profit of $1,109.97
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Additional Fun with Betting Exchanges | 3 comments (3 topical, 0 hidden)
Addendum by leviramsey (2.00 / 0) #1 Mon Sep 17, 2007 at 11:11:47 PM EST

In the event that none of the above-named clubs win the league, these trades would result in a profit of $679.97

Could I be the next Lee Abrams?
I haven't paid attention to how this... by Metatone (4.00 / 1) #2 Tue Sep 18, 2007 at 04:00:13 AM EST
particular market works, but it would seem to me that you'd be better off hanging on to the ManU position for a while longer as they are quite likely to have another spurt of good results and that would be the time to sell. After all, it's not even Xmas yet.

It's a short sale... by leviramsey (2.00 / 0) #3 Tue Sep 18, 2007 at 08:38:36 AM EST

I'm essentially betting on Man Utd not to win the league.

Could I be the next Lee Abrams?
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Additional Fun with Betting Exchanges | 3 comments (3 topical, 0 hidden)