The futures tag has no wiki summary.
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Continuous futures time series
Hi I did go through the previous posts on this topic but still confused. I am basically researching on some ideas and need continuous time futures data. At any point in time I basically have three ...
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1answer
59 views
Continuous returns for negative roll-adjusted futures data
I've generated roll adjusted notional futures data by adding a roll adjustment to the settlement price then multiplying by contract multiplier through time. For example, for crude oil CL, on 15 March ...
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1answer
70 views
Futures Contract Fair Values Accuracy
I have recently been tasked to work on fair value derivation for futures on equity indices (non-US). I know that the FVD function in Bloomberg can have a huge discrepancy from markets: where cheap is ...
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1answer
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What are the differences between CFD and SSF?
What are the intricate differences between SSF and CFD?
The similarities are that both take into account interest and settled daily thus looks more or less the same pima facie.
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Market Exposure and Hedging
Normally the Market exposure associated with your stock/portfolio is your delta for that stock/ portfolio. Basic idea of hedging involved here is buying/selling respective futures depending upon ...
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1answer
140 views
How does the CME set margin requirements on commodity Futures
I am trying to model margin requirements on various commodity futures, however it doesn't seem that the CME has released the formula they use to set these performance bonds. I am sure that they use ...
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1answer
137 views
How to measure contango?
Is there any unit of measure for the magnitude of the contango (or backwardation) for futures, so you can compare the contango of many symbols.
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1answer
113 views
Implied dividend estimation
I am looking at two different ways of estimating the expected / implied dividends from market data.
1. Dividend futures
I know that this asset class is not very liquid and might not be ...
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1answer
150 views
Yield on Fixed income futures
I am trying to get a simplified model of the DV01 for the US 10YR Note futures but I cant figure out what the current yield is. When I back out the implied interest rate on the current TYM3 futures ...
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1answer
226 views
Do futures have predictive value?
Futures closely mirror their underlying, as can be seen in the charts below. Eventually, at expiration, they reach the value of the underlying. However, they seem to show no extra information about ...
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1answer
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What continous adjustment methods are firms using for futures backtesting?
There are several methods available between data vendors and associated software programs to adjust futures contract data for historical simulations.
Some of the methods are:
1) Back or forward ...
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2answers
71 views
Intangible assets as underlying for Futures contracts
How is it possible for a Futures contract to have an intangible underlying? For example, to my knowledge, there exist Futures that have interest rates as their underlying, come delivery date, how is ...
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Resources to read more about/learn how implied pricing works
I was looking at this video today:
http://www.cmegroup.com/education/interactive/webinars-archived/implied-price-functionality.html
on implied pricing. And am aware that implied orders/pricing ...
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Estimating two normal random numbers with one equation
Subtitle: Estimating the correlation of the shocks driving two commodities in
two multi-factor models
I am fitting two 2-factor models to electricity and gas futures, respectively.
In order to ...
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2answers
604 views
How to Delta Hedge with Futures?
The theory of delta hedging a short position in an option is based on trades in the stock and cash. I.e. I get the option premium and take positions in the stock and cash.
In the classical ...
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2answers
345 views
How to compute interest rate futures spread ratio?
I am confused on how to compute the spread ratio.
For example, this is example I came across with my broker -
Consider 2 contracts Bobl and Euribor.
The DV01 of Bobl i 44.8 and Euribor is 25. To ...
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0answers
104 views
Is there a general format for various sources of futures market-data?
I am developing a market-data engine that receives market-data from different futures exchanges. So I need a general format to deal with sources from different exchanges. Protocols like FIX only ...
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0answers
108 views
What is the highest frequency greek for options on futures on bonds?
I'm considering exchange traded options of futures on bonds. Options on bond futures are usually American, thus the Black model is out of question. Which is the most imporatant Greek with respect to ...
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1answer
276 views
What are VIX back-month futures based on?
The VIX calculation is a weighted average of prices for front-month out-the-money options on the S&P index.
So for VIX futures, this makes sense for the front month vix futures (being based on a ...
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1answer
530 views
What is the market standard for pricing VIX futures?
Pricing of VIX futures is complicated, because it is not possible to use a standard
hedging argument to get a value similar to stock futures.
What different approaches for pricing VIX futures exist? ...
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1answer
2k views
The difference between Close price and Settelment Price for future contracts
What is the difference between Close price and Settelment Price for future contracts?
Is there a define rule for evaluating the settlement price or each instrument/exchange different rules applied?
...
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3answers
613 views
How to normalize Futures data(different leverage) for cointegration test?
For example I want to construct 2 time series, one for ES and the other for NQ and test for cointegration.
ES one point equal to 50$.
NQ one point equal to 20$.
If I have the following data:
...
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3answers
870 views
How can one compute the Greeks on VIX Futures
I am guessing the short answer to this question is "use the chain rule and linearity of the derivative," but I am looking for more specific advice on how to compute the derivatives of a VIX futures ...
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2answers
587 views
Can one use options on Treasury futures to hedge a portfolio?
Can one use options on Treasury bond futures to hedge a typical fixed income portfolio? If so, how can one estimate the duration for an option on a Treasury futures contract, and taking this a step ...
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1answer
879 views
What is the basis risk between cash and futures government bonds?
I am currently working in a team responsible for maintaining a simple risk application for our bond desk and I am interested in knowing how to provide some sort of basic basis risk metric.
Our desk ...
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3answers
1k views
How to incorporate technical indicators into neural networks?
I plan to develop a neural network to trade commodities futures, but while messing around with some code, a question came up. If I understand correctly, people use various technical indicators with ...
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1answer
254 views
Did farmers really buy options on the CBOE? [closed]
I recently become interested in finance. Many books discuss options as simple examples of derivatives. I also read some "popular books". I read in "The Poker Face of Wall Street" that almost no ...
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4answers
858 views
Can the futures market's open interest predict commodity, treasury, and equity returns?
I came across this article and became curious. Can the futures market's open interest really predict market action?
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3answers
550 views
Price of Brent versus West Texas Intermediate
As of right now, the price of Brent Crude is $\$$111.59/bbl and the price of WTI Crude is $\$$98.36/bbl. I'm well aware that futures markets don't set the spot price for oil, but actual ...
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2answers
348 views
Need advice on finding forward spot rates
So this is a "work homework" question. As part of my job they are sending us through sort of a training course. I'm looking for advice, or a link to a site that explains how to do this with maybe some ...
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5answers
3k views
What is a good broker for HFT?
Currently I trade trough IB. I run my HFT strategies (100 roundtrips per hour) but I think that latency is killing me and my profits are shrinking. I need the fastest possible brokers out there which ...
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2answers
809 views
Where to find Greeks for futures to form delta-hedged futures portfolio of S&P 500 index/futures
I can't find S&P 500 index (SPX) futures data with Greeks to create delta-hedged portfolios. Do these data exist? I have access to most of the common data sources.
In the meantime, I am trying to ...
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2answers
790 views
Is there a standard method for getting a continuous time series from futures data?
I would like to be able to analyse futures prices as one continuous time series, so what kinds of methods exist for combining the prices for the various delivery dates into a single time series?
I am ...
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1answer
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Question about future annuity [closed]
Question: I'm buying a bond that will pay me $1,000/year for 5 years starting 1 year from now. I want to make 12%/year on the investment, what should I pay for this today?
I got $3,604.77 by using ...
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2answers
761 views
How to execute a large futures order?
I am currently trading futures products on some contracts that have low volumes. More accurately, the volumes of working orders in the book are fairly light. I am trying to execute a relatively large ...
