Questions about futures contracts

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1answer
112 views

How to calculate returns and sharpe ratio for futures?

What is the industry standard way to calculate returns, which will be used to calculate sharpe ratio for e-mini S&P500?
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1answer
38 views

Futures Holiday Schedule

I am trying to find a place where I can get S&P Emini contract trading days. I would like to get the contract first appearance (September 9th 1997) until today. I can get Holidays but nothing ...
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1answer
48 views

what is the cost for rolling 5 year german future?

im looking at the bobl future for september and for december and see 1.8 basis points difference. i wanted to know why there is this gap? and if im holding a position in september and want to roll it ...
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1answer
23 views

Source of market or security attribute information?

There are many securities and exchanges on platforms like Bloomberg and Quandl, but many securities are described with the relevant pit close times and pit open times, exchanges, related futures, and ...
5
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1answer
404 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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0answers
26 views

Historical UK Gilt 2-year and 5-year data

Data on the Medium (approx. 5-years) and Short (approx. 2-years) futures contract listed on ICE only goes back to 2009. Is anyone able to point me towards where I can get a longer time series, perhaps ...
4
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1answer
183 views

U.S. Rate Hike Prediction

In a recent ft.com video an analyst mentioned that markets postponed their Fed rate hike expectation from September to around November 2015 due to the CNY devaluation, based on the "shift" of some ...
3
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3answers
101 views

Why is the spot price not used as the forward price when a forward contract is created?

If the initial value of a forward contract is zero, surely the forward price used would be the spot price at the time the contract was created? However, my notes tell me that the forward price F, at ...
2
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1answer
68 views

Forward parity in fixed income

In stock and index we have a beautiful forward-spot parity $$ F(t,T) = S(t)\cdot B(t,T) \tag{1} $$ which tells us that to price a forward contract at time $t$ with expiry $T$ we can just borrow ...
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2answers
410 views

Value at Risk for Futures Contracts

I would like to know how you would compute Value at Risk on a portfolio of futures i.e rates futures, commodity futures and equity. How do you deal with the discontinuous form of commodity futures for ...
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2answers
72 views

how to convert notional to nominal of bond future to ctd bond

I want to know if you can easily convert a notional of a bond futures contract into the nominal of the ctd bond if you have the conversion factor. For example you have 1000 notional of a futures ...
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2answers
898 views

How does one estimate the probability of the Fed increasing its benchmark rate based on Fed funds futures?

How was this 67% probability calculated from Fed funds futures? Fed funds futures show a 67 percent chance the central bank will increase its benchmark rate by year-end from virtually zero, ...
5
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2answers
135 views

Do futures follow physical or risk-neutral distributions

I've spent a while looking for an answer to this question and while I feel it is a simple question I have not found an answer. I know prices of option contracts follow an implied, risk-neutral ...
14
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4answers
5k views

Why is the VIX futures market usually in a state of contango?

I'm a VIX newbie and I'm trying to understand why the VIX futures market is usually in a state of contango. All I can figure is that the sellers of VIX futures contracts demand high "prices" (because ...
1
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0answers
36 views

order routing for a fill [closed]

Lets assume a FIFO rules in futures, I buy a contract and id like to sell it. Should I estimate the possibilite of orders on opposite side would be filled first? If I watch new orders incoming at new ...
2
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1answer
145 views

Where to get historical daily settlement price of each VSTOXX futures contract

I'm doing some analysis on VIX and VSTOXX futures and require historical prices of each contract as a result. VIX info is free to download on CBOE website: ...
6
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2answers
86 views

How to properly assess the costs of replicating an index via futures contracts?

I would like to validate this sentence, coming from a WSJ article: The cost of holding a Eurostoxx 50 future, for example, has climbed from an average of 0.07% of the contract value since 1998, ...
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2answers
202 views

How can index futures trade 24/7 when the index doesn't change?

I have read that the E-Mini S&P 500 Futures trade 24/7, how is that possible? I mean the underlying stocks which form the index are traded from 9:30am-4pm - so outside of these hours the S&P ...
8
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1answer
260 views

Pricing Treasury futures

I've recently learned that at the delivery of Treasury futures the short side can decide which of the $n$ Treasury bonds (with relevant maturities) to deliver. If the short side chooses to deliver the ...
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2answers
2k views

Historical Data on $/yen forward exchange rates

Would anyone happen to know where I can find historical forward exchange rate data between the yen and dollar?
2
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1answer
80 views

remove seasonality in future contracts

very new to commodities. I have raw agriculture future data, and I need to remove the seasonality (de-seasonalize) from the data, what is the general approach ? Thanks for the help!
4
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2answers
196 views

Futures fair value with spot in different currency

The fair value, $F$, for a futures contract is $ F = S(1+rt) - D,$ where $S$ is the underlying spot price, $r$ is the interest rate, $t$ is the time to maturity, and $D$ is the dividends. What is ...
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0answers
114 views

Estimating the next tick movement in Chinese markets

I'm working on high frequency trading in the Chinese Futures market and I've been having a bit of trouble with getting orders to go through due to the lack of liquidity and large fluctuations. To ...
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2answers
112 views

VIX Futures data: why happen to have settle price > 0 and Volume = O.I. = 0

This question is about something observed hands on data that makes me a little confused. Consider the term structure of futures on VIX of Monday, December 27, 2010. You can find it at the CFE market ...
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1answer
111 views

Where to obtain Eurex level 2 historical order book data from?

What are some possible sources to obtain Eurex level 2 historical order book data from? Unfortunately I have only been able to find 1 source - namely Eurex itself, which charges 2000 Euro/month for ...
6
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4answers
4k views

Are Futures exactly Delta One?

Delta of Future is exactly one I thought. This post here, says otherwise. However, quoting John Hull again: $$f = \text{Value of Future contract} = S_{t=0} - K \exp(-rT)$$ where $S$ it the spot ...
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1answer
74 views

ICE oil Future Markers

i have seen Brent oil future singapore marker many times. however, i wonder what is the reason for introducing different markers in the future market. FYI - LINK
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1answer
140 views

Which volatility to use to price options on futures contract?

I have some questions regarding pricing futures options and I just want to be sure that my thoughts are correct. I am trying to price options on futures for american & european style. In the ...
2
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1answer
190 views

Comparing the return of different roll strategies

I am interested in calculating the effect of the roll return using different roll strategies. In specific I want to mimic a long-only futures investments. I have historical data for several ...
5
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0answers
72 views

Estimating Number of “Day Trades” from Total Volume of Commodity Futures Contract

Looking at futures data I am trying to calculate/estimate the number of "day trades", i.e. positions that were initiated and closed during the same day, as distinct from those positions that were ...
6
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1answer
141 views

How to price a futures spread option?

Let's say I have two futures contract $F_1(0,T)$ and $F_2(0,T)$ on two different correlated underlyings. If I assume that both underlying follow a GBM with volatility $\sigma_1$ and $\sigma_2$ ...
4
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1answer
224 views

How to synthesize a futures spread option?

Is it possible to synthesize a futures spread option using only the options on the spread's underlyings? If so, how? If not, is there another way? As an example, please show me how to synthesize ...
2
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1answer
107 views

Am I in a long or short position in this case? (Cross hedging)

An airline expects to purchase 2 million gallons of jet fuel in 1 month and decides to use heating oil futures for hedging. The variance of the heating oil futures price is 1,5 times bigger then the ...
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0answers
63 views

For futures contracts, do we need to do price adjustment during live testing?

I am trying to do pair trading on a pair of future contracts, e.g. CME gold and silver. During the training of my trading model, I do forward adjustment on the pair of future contracts. Let the ...
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0answers
65 views

Is it important to equalize the minimum price fluctuation in pairs trading?

For example, suppose we were trading a strategy which buys one Brent contract and sells one Gasoil contract. The minimum price fluctuation for a Brent contract is \$10, and the minimum price ...
1
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1answer
98 views

Where can I find a list of market-moving news announcements for different asset classes?

Different asset classes have different important news announcements that move the markets intraday. For instance, oil volatility increases after the EIA Petroleum Status Report, but that announcement ...
4
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2answers
274 views

Predict Futures Prices based on weather + agricultural data

I’m working in the area of Data Mining and have come up with the following idea for my Masters project.The text may not be the best structured but it’s a working draft to give you a quick idea. ...
6
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1answer
234 views

When Fed stops QE, Treasury Futures will go down in price, so… LEAP Puts are a good idea?

I think: when Fed stops QE (Quantitative Easing), Treasury Futures prices will go down. Question 1: Am I right? So... buying LEAP Puts (in Treasury Futures) would be a good idea. Question 2: Am I ...
2
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1answer
136 views

Methods for “prompt month equivalent” exposure in commodities forwards/futures markets

It is common in commodities markets to hold many positions, both long and short, across a range of contract months beginning in the prompt month (today, September) to five or more years out. In ...
2
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1answer
159 views

Volatility of Futures

Apparently: Under a constant interest rate, the futures price is given by a deterministic time function times the asset price (I think I understand this). This means that the volatility of the ...
2
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3answers
897 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
202 views

What is the most convenient data structure for backtesting a model of futures options prices?

I have an empirical model for the dynamics of futures prices in a particular market that I have implemented using a long series of the front five contracts. (I account for the roll in my model.) I ...
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0answers
599 views

Difference between “basic risk” and “basis risk”

Returning to Futures contracts, basic risk refers to the risk remaining after the hedge has been put in place and essentially represents the difference between the Futures price – should the ...
2
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1answer
306 views

ETFs have lower tracking error than Futures?

I used the daily returns of SPX Index, SPY US Equity, and SPA Index. I then calculate their standard deviation as hedging instruments with respect to SPX Index, i.e., (spx_ret - spy_ret) or (spx_ret - ...
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1answer
350 views

Black 76 for Options on Interest Rate Futures

This is my first time using Black76 to value options on IR futures and I have a question on $F$ and $K$. I understand the price for an IR future is usually quoted as $100 - r$. Do I use this price ...
0
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1answer
120 views

why people want to get a continuous time series from futures data?

So for the backtesting , is it necessary to make an adjustment for the last day of the current contract and the first day of the next far contract? Even if there's is a gap, that's the actual price, u ...
4
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1answer
393 views

Electricity market : how to design an optimal hedging strategy using spot and futures markets for an industrial consumer?

Here is the problem : we should adopt the point of view of an industrial company which purchases electricity as an input in its production line and which wants to achieve the following two goals : ...
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2answers
145 views

Basis Risk for Futures/Options

I am just reading about basis risk. It is being described as risk of the price of the hedging instrument not fluctuating the same as the instrument itself. I was just wondering, if we bought a ...
1
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1answer
456 views

What is the Rho of an option on a futures contract priced using the Black 76 model?

I wanted to quickly confirm some simple calculations for the Black 76 greeks and was making use of the formulas on this website: http://riskencyclopedia.com/articles/black_1976/ I have an issue with ...
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2answers
238 views

Why does Futures contract credit and debit a position daily, if it has “locked” the price?

I thought I had understood futures contract. But it seems the daily settlements betray my understanding. Futures contract provides price & product safety to involved two parties. E.g. Wheat ...