Questions about futures contracts

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Calculation of Bond Carry from Synthetic future prices

I have only government bond yields with different maturities. How can I obtain sythetic future prices on bonds? After obtained the future prices, I am supposed to compute the return and carry returns. ...
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0answers
14 views

Forward Exchange Rate Data: Germany x US

Would anyone know where I can find historical forward exchange rate data between germany and US, yen and US to download? In Bank of England website i already found. Thanks
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1answer
142 views

Robust way to calculate P&L for stocks/futures trading

I have implemented a class in C# that will calculate P&L based on this description from TT. However it worries me that it gives different results for the same fills, if you apply the "fill ...
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2answers
57 views

Market making in futures

I am learning various strategies to day trade the emini SP500 futures contract (ES) based largely around order flow principles and price action. I have been wanting to learn more about market making ...
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1answer
431 views

Constant maturity futures price methodology

What is the correct methodology to compute constant maturity futures price. I've met in some papers that do the following. To create constant maturity synthetic futures prices with maturity $m = 30, ...
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1answer
32 views

long fra and a short ed future with same fixing dates, is convexivity negative or positive?

If you are long a FRA (forward rate agreement) and short a ED (Eurodollars) future with the same fixing dates, do you have positive convexity or negative convexity? Why? According to the following ...
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1answer
48 views

Calculating PCA hedge ratio for 3-leg spread

I'm wondering how can I find PCA hedge ratio for a 3-leg spread? I've taken the simple steps laid out in here. I've taken some treasury futures data for 2yr,5yr,10yr and ran the PCA. The first ...
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2answers
123 views

Understanding Quandl Futures Data

I'm interested in learning how to adjust my own futures contracts for analysis. Unfortunately my quantitative classes didn't really go into this, and I would like to learn it on my own. The methods ...
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2answers
103 views

Cost of rolling futures contracts

Futures are traded on margin, so that the P&L of any open position is realized on the posted margin. To maintain a constant exposure to the future, an expiring contract needs to be rolled into a ...
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2answers
217 views

Why are futures valueless?

I understand that futures exchanges are set up in such a way that traders don't pay cash in order to assume a long position on a futures contract; they simply "enter into" the contract, essentially ...
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5answers
8k 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
98 views

A proof that the final payoff on a futures contract is twice that on a forward contract

Following is an argument demonstrating that the final payoff on a futures contract is twice that on a forward contract, contrary to what I believe is the accepted truth that the two payoffs are the ...
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1answer
36 views

What exactly do I sell when I sell a futures contract I have previously bought?

Suppose I buy a futures contract and later, before expiry date, I sell it out. Is something physically exchanged between myself and the buyer, e.g. a paper certificate specifying the contract's ...
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21 views

Mechanics of futures contracts: with respect to which time reference is the variational margin calculated?

Consider the following situation. My futures exchange, Futures Inc., is open for business 9AM till 5PM EST. A few days ago I assumed a long position in a futures contract, $C$, on one unit of some ...
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1answer
47 views

Definition of Financial Futures: The value of a futures contract

According to the opening paragraph of the Wikipedia article for "Futures contract" In finance, a futures contract (more colloquially, futures) is a standardized forward contract which can be ...
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1answer
37 views

Definition of Financial Futures: The price to pay for the underlying asset on delivery date

According to the opening paragraph of the Wikipedia article for "Futures contract", the parties to a futures contract initially agree to buy and sell an asset for a price agreed upon today (the ...
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2answers
34 views

How to interpret the movement of stock index futures, in regards to regular market movements

In the hours before the stock exchanges open for the day, financial news reporters often discuss the latest developments in stock index futures. I'm curious how to interpret the developments they ...
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1answer
181 views

VXV vs. VIX futures: arbitrage opportunities?

At a first glance, VXV and VIX futures should not be compared at all: VXV is an underlying index, whilst VIX futures are derivatives written on a different underlying index, that is, VIX. As ...
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1answer
59 views

Where to find E-mini S&P options price data or chart?

ES futures price data is easy to find, e.g. on Yahoo finance or with a free NinjaTrader demo account. I'm looking for the same for options on that futures contract. The best I could find is the ...
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2answers
58 views

Futures Contracts, Rollover, Offsets

I was reading Trading Commodities and Financial Futures by Kleinman, I saw this excerpt: When you buy or sell a futures contract, you don’t actually sign a contract drawn up by a lawyer. ...
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1answer
56 views

How to convert bond options strikes to future prices

CME, 10 year Note Call Strike 1300 How to convert this strike to future price? (today's open at 131'100) For example we can take current prices EOD data for example chart on CMEgroup: ...
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2answers
127 views

$E[F_T] = F_0 \ \rightarrow \ \text{or} \ \leftarrow \ p = \frac{1-d}{u-d}$?

From Ch 12 in Hull's OFOD, we compute the risk-neutral probabilities for a futures contract: Later in Ch 17, futures options are valued, and we have the same result: In relation to ...
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0answers
35 views

Problem with overlapping data when testing futures market efficiency

In my case non-overlapping data would represent the scenario where futures prices (3 months) do not correspond to the futures spot prices in terms of delivery date. For example, futures settlement ...
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0answers
94 views

What is the best open source automated trading platform or options?

I would like a custom C++ Automated Trading Platform for Futures like Multicharts, or similar automated trading platform that I can put on my servers so its secure and fast. I have found this ...
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1answer
55 views

limitation of contango and backwardation

What do you think would be the theoretic limit for a contango? What about backwardation? this was asked in a interview, still not so sure about the answer.
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0answers
31 views

How to find or calculate 30-day constant maturity price of a future?

Question, pretty much says it. Is there a reliable place where this data can be found or, if not, is there a reliable place where the underlying data needed to calculate the constant maturity price ...
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1answer
9k views

The difference between Close price and Settelment Price for future contracts

What is the difference between Close price and Settlement Price for future contracts? Is there a defined rule for evaluating the settlement price or different rules are applied for each ...
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6answers
238 views

Data provider for daily futures settlement prices

Is there a data provider that has historical daily settlement prices for download? I'm interested in a provider that spans multiple exchanges.
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3answers
2k views

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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1answer
53 views

Delta of a Commodity Future

Generally the price of a future is $ F(t,T) = S(t)e^{r(T-t)}, $ and it's delta is: $ \frac{\partial F}{\partial S} = e^{r(T-t)}. $ (As opposed to the delta of a forward which is always one.) In ...
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1answer
72 views

How to get historical data for expired futures contracts in IbPy?

Does anyone know how to request historical data for futures contracts that have already expired in IbPy? There are plenty of examples for requesting historical data for example this post, however ...
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0answers
557 views

How to think about dollar volume in Eurodollar futures?

This is a very basic question: Computing the notional volume for futures contracts usually consists of something like: $$V_F = N \cdot P \cdot M \cdot FX$$ Where $V_F$ is the dollar volume of the ...
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1answer
83 views

QuantLib: New Instrument derived from VanillaOption + PricingEngine that must work for both VanillaOption and the derived class

The derived class is a Vanilla Option on a Future and I need to specify the expiry of the underlying future which is in general different (later) than the expiry of the Vanilla Option. I have ...
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2answers
96 views

Futures Parameters for Value at Risk

I am new to risk management. I am calculating the VaR for a portfolio of futures contracts, long and shorts. I calculated it using the historical, parametric, and ...
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1answer
39 views

nikkei 225 yen contract on the CME

This may be a silly question on futures trading, but I haven't found a clear answer on the CME website. For the Nikkei 225 Yen contract on the CME, which is denominated in Yen, the margin is also ...
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3answers
245 views

Best known performance of stock prediction algorithms

I asked this question here and was directed to answer it on this stack exchange. My question is very simple. What is the best [known] performance of a stock prediction algorithm? I've seen papers ...
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2answers
835 views

Options pricing exercise - American call option on a futures contract

I am confused by a particular exercise I am doing right now, I am hopeful that someone can walk me through as to how to solve it. I further hope the question is not considered too basic for this ...
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1answer
142 views

Broker or source of intraday futures data for a python API?

I am looking for a broker that offers a python API for downloading historical intraday data on futures. So far I have only seen Interactive Brokers and Tradestation. Are there some other brokers ...
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3answers
131 views

Why is the value of the VXX ETN always above short-term VIX futures prices?

If the VXX is simply a constant maturity weighted average of the 1st and 2nd month VIX futures prices, then why is its market price always larger than the maximum of the two? (the larger of the two is ...
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1answer
151 views

Conversion of SPY prices to ES prices

I have a system that I use intraday that works great on SPY. Due to the extra leverage available plus other benefits I am thinking about trading the system using ES. Is there a conversion factor ...
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1answer
44 views

How to retrieve and format futures data for use in regression/time series models?

I need to form a predictive time series model for monthly Brent crude oil spot price. I am looking to form 1-12 month ahead forecast horizons. There is a bounty of previous literature which uses ...
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4answers
127 views

What is wrong with this argument?

Futures trading in stock index gives leverage. Leverage cuts both ways. It can give you huge pct gains or wipe you out. Typically stock index futures for the major markets have limited daily pct ...
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45 views

What time do bond traders come into office in morning in New York? [closed]

When I worked on bond desk in we need to be there 8am est. Is this typical ? Seems late to me as some markets open 8am like the Canada bond futures. Treasuries futures open 820am. I work at hedge ...
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2answers
2k 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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0answers
79 views

Assets cointegration: optimal inventory for futures market

I'm interested in HFT cointegration stratagies, and recently found interesting article "Algorithmic Trading of Co-Integrated Assets" The article describes mean-reversion strategy for N-assets. ...
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2answers
162 views

Is spoofing financially risky?

It's alleged that Navinder Singh Sarao contributed to the flash crash by placing huge, fake, order for S&P Minis. Mr. Singh Sarao then cancelled the huge orders before they were filled. The ...
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60 views

Are there academic papers on the 'term structure' of adverse selection for futures and options?

By term structure I mean a non-stationarity in the pattern of intraday adverse selection as a given instruments approaches its expiry. Note that I am interested in the adverse selection on the ...
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1answer
62 views

When are ES E-mini future options issued?

Since options lose 2/3 of their time value in the second half of their lifespan, it makes sense to be aware of when an option was issued. What are ways of figuring out when ES futures options have ...
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76 views

put call parity for futures options derivation in Hull

In Hull, the following derivation of PCP for futures options: What confuses me is that it is stated that the payoff of the long futures is $F_t-F_0$. The footnote states: the analysis assumes that ...
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58 views

the cash flows behind closing out futures positions

I always get confused about the cashflows occurring when a futures position is closed out. For example, say it is January and I enter into a long December Futures position with a futures price F(jan). ...