Questions about futures contracts

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25 views

Is there a relation between total futures and the amount of production?

I have a multipart question about futures and production. Lets take corn as an example. We add up the total 1 year futures of corn, call this weight $A$ kg. Next, we can get a reasonable estimate of ...
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2answers
28 views

Calculating the interest rate from a EuroDollar Futues contract

I would like to calculate the interest rate from a EuroDollar Future Contract(say the Sep-16 Futures Contract is trading at 99.2575). From the interest rate, I would like to calculate the zero coupon ...
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1answer
54 views

Large trend-followers: why use futures rather than ETFs?

There are a number of large trend-following CTAs that have been successfully running for 10+ years. Their main instrument is diversified futures. Why not ETFs (is it due to liquidity / scaling, costs, ...
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1answer
24 views

Trying to understand T-Bond futures settlement. What am I missing?

Here's a puzzle I encountered when trying to understand how treasury bond futures (/ZB) are settled. Supposed I am short 1 September ZB contract at \$170, and on its last trading day the contract ...
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1answer
22 views

compute volatility and greeks of american option on futures using matlab toolbox

I have learned some knowledges on option pricing by myself at a very beginer's level. I'm using matlab R2009b finacial derivative toolbox, I found option pricing functions for american options on ...
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1answer
225 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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25 views

Model free estimation of convexity in Eurodollar IR Futures

Can someone please share some thoughts on how to estimate convexity for a given Eurodollar interest rate future contract, without assuming any underlying model for rates i.e. LMM, Hull-White etc. I ...
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1answer
20 views

Need a reliable source of futures expiration dates

I am trying to determine (programmatically) what the current front month contract for a given futures symbol is. I would guess that all futures contracts expire on a standard time relative to their ...
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1answer
486 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
33 views

Is futures contracts data only reported for business days?

After digging around a few sources of futures data (in particular Quandl and EOD Data), I noticed the data only reports for business days (i.e. Monday-Friday excluding national holidays). The NYMEX ...
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25 views

What do you call a group consisting of stocks, etfs, and futures?

In the command line interface to my program, the user can create a basket of stocks, etfs, or futures by saying: basket = stocks basket = etfs basket = futures basket = options But I ...
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1answer
18 views

How does this statement about the price of a prepaid forward on a stock follow?

I am self-studying for an actuarial exam on financial economics. This statement in the following problem/solution seems to imply that the prepaid forward price on a stock is the same as the prepaid ...
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1answer
51 views

Calculating required funds on Futures trades

I'm coding in python a backtester for trading the Futures markets (equity futures, precious metals, bond futures, etc..). When I open a position long or short, I need to deduct an appropriate amount ...
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2answers
106 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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2answers
1k 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 forum....
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1answer
60 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
24 views

30 Day Federal Funds Futures settlement price

A question regarding this futures: http://www.cmegroup.com/trading/interest-rates/stir/30-day-federal-fund.html It says that settlement price = 100 - [average of effective federal fund rate for ...
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2answers
299 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 ...
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1answer
84 views

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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19 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
63 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
144 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
159 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
237 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
9k 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
137 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
40 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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23 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
51 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
41 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
199 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 instance,...
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1answer
63 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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64 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. Instead,...
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1answer
61 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: http://www....
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2answers
129 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
37 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
119 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 so far, ...
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1answer
95 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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56 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
10k 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 instrument/...
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6answers
277 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
62 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
137 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
591 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
94 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
100 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
41 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
258 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 ...