Tagged Questions

Questions about futures contracts

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20 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 ...
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1answer
34 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?
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1answer
33 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
71 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 ...
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2answers
32 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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2answers
83 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. ...
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1answer
196 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 ...
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1answer
41 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 ...
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1answer
143 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 ...
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0answers
99 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
104 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 ...
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1answer
152 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
86 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 ...
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54 views

commodity futures pricing vs. underlying spot rates in volatile markets, at depth of book

Are futures contracts or their underlying spot rates, more or less efficient, at depth of market, with volatility? Say for example we have: 1 E7 (CME contract) = 62,500 euro Should the future or ...
3
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1answer
109 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
88 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 ...
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4answers
671 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 ...
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1answer
137 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
87 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 ...
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2answers
256 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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0answers
145 views

What's the link between EURIBOR3M futures volatility and rates volatility?

If I am not wrong, EURIBOR3M futures with maturity $T$, whose price is $F_{T}$, are quoted like contracts which express the underlying forward rates, $r_{T}$, as $$r_{T}=\frac{100-F_{T}}{100}$$ Now ...
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0answers
39 views

How do bond futures affect effective rate when used to hedge a bond's duration?

I'm trying to wrap my head around what happens to the net interest received when an invester goes short a bond future to fully hedge the duration of his long position in an actual bond. Does it ...
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0answers
116 views

Hull's method for the optimal hedge ratio: why?

To illustrate my question, let's assume that the owner of one unit of asset (unit spot price variable S) needs to sell this asset at time T in the future. In order to hedge against a possible fall ...
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1answer
86 views

Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?

I would like to model Korean government bond futures. So far I know two concepts (just a short, incomplete description) cash-settled futures (e.g. Australia): The average yield of a basket of bonds ...
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1answer
66 views

Inferring signals in absence of sign of principal components (PCA)?

PCA seems to be very popular in dimension reduction applications and for extracting the top PCs which explain the data. One such application in futures is on the term structure to obtain the level, ...
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1answer
390 views

EuroDollar vs FRA

I am not quite clear about this. When people mention Eurodollar are they mean Eurodollar Futures? One of the difference between Eurodollar and Forward Rate Agreement(FRA) is basically difference ...
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1answer
851 views

How do Trade-At-Settlement orders work?

Can anyone explain how Trade-At-Settlement (TAS) order on futures market actually works? I have heard that it is guaranteed execution at the settlement price (or with some offset). How can it be ...
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1answer
254 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 ...
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0answers
43 views

Mapping Futures Data Into Mantas

Can anyone please help me figure out how to map 'Futures Data' into Oracle Mantas. I believe 'Futures Data Feed' will have a different 'Format' from the one acceptable to 'Mantas' risk management.
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75 views

Dividend Index Futures

My question is dealing with the proportionality between Dividend Index Futures prices and Index prices. Indeed, we in the past we used to do a simple regression between these variables and use the ...
2
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1answer
153 views

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 ...
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1answer
80 views

Difference between Ibovespa full and mini futures contract

What is the difference between the following two Brazilian futures contracts: The Ibovespa Futures Contract The Mini Ibovespa Futures Contract As far as I can tell, both are priced in Brazilian ...
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0answers
208 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: $V_F = N * P * M * FX$ Where $V_F$ is the dollar volume of the futures ...
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1answer
506 views

IB API quotes and speed

The title says it all. I trade futures options exclusively and wanted to see if anyone had insight into the quote speedsrobustness coming into the API. I'm using the Excel DDE right now just building ...
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1answer
425 views

Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?

How exactly would I go about investigating whether the S&P 500 stocks were currently over-valued compared with the price of the S&P 500 Index futures contract? Is it just a case of taking each ...
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1answer
274 views

Japan day count conventions

I am after a good comprehensive resource on Japanese day count conventions. By that I mean, is actual/360 or actual/365 used for pricing various options, forwards, futures, etc.
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97 views

Black (1976) model: boundary conditions with non-convergence of spot and forward prices

Let's suppose we have a futures contract F in a market where the relation $$F(t,T)=S(t)e^{r(T−t)}$$ doesn't hold. What are the the boundary conditions for the derivation of the Black (1976) ...
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1answer
228 views

Bond futures - calendar spread pricing

I am looking on literature and models on pricing a bond futures' calendar spread. assuming the basket of deliverable bonds is the same and the ctd is the same, what are the factores determining the ...
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1answer
254 views

Black (1976) model: relationship between spot and forward prices

Does the Black (1976) model require the existence of the relation $F(t,T)=S(t)e^{r(T−t)}$? I studied the derivation of the Black-Scholes formula. However, although I know the Black formula, I've ...
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1answer
99 views

What is the difference between full and only futures?

If you look at instrument name for listed on various futures exchange you often see Gold Only1214 Gold Full1214 What is "Full" and "Only" mean? The price listed is the same and I cannot find a ...
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200 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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3answers
209 views

Black model - volatility estimation

In the Black (1976) model: We should use the settlement prices of the underlying futures contract in order to estimate the volatility, right? Or can we also use the spot prices? Because the ...
2
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1answer
451 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 ...
4
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1answer
159 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
200 views

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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151 views

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
372 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
262 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
1k 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
397 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 ...