# Tag Info

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Delivery is 1:1. 100k notional of futures calls for delivery of 100k par amount of the underlying bonds.

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I'm not sure I follow your question completely but I will try my best to explain how Bond Futures relate to their underlying contracts. First of all the 5 Year, 10 Year, 30 Year, and Ultrabond Futures that trade on the CME all have a par value of the $100,000. So let's say you hold short a 10 year future that expired with the price of 126.00. The ... 3 There is actually a lot of art involved. The most simplistic framework is as follows: The first step is to obtain a list of FOMC meeting dates. These are available currently for 2015 and 2016 here. If you're interested for rate expectations beyond 2016, you'd need to "guess" the meeting dates in the future based on past patterns. The next step is to ... 3 I am not sure how that probability was computed. However, the standard approach is to use fed futures to proxy for the "unexpected change" of FED rate. The most prominent reference is Bernanke and Kuttner (2005). What they do, is to estimate the unexpected FED target rate change by doing:$\Delta i^u = \frac{D}{D-d}(f_{m,d}^0-f_{m,d-1}^0)$, where ... 2 If you plot the price series against volume or open interest, you'll see there was no trading at all in the contract during the early part of the series. This is common for futures – the exchange lists quite a few of them, but only nearby expiries are actually traded. The other contracts still have daily settlement prices, but cannot be relied upon. 0 There is no best method, however consider back adjust so the 'shape' of the data series remains constant in a backtest and you can normalise returns. Portara is a technology where you can create 35-40 years of back adjusted intraday down to the 1 minute bar in a singler text file (no messing around) on CQG Datafactory data. Look at their tutorials at ... 0 Perhaps other memeber of qSE are going to correct me, but I think the following rule of thumb is useful. Whenever you have a doubt, try to forget that a pricing measure is a probability measure. This is just a pricing tool: originally for any option/derivative/contingent claim we'd like to know its price, so we introduce a map$\pi:X\to \Bbb R\$ such that ...

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Your question is not clear. What you might want to say is what distribution should the futures price follow, under the risk-neutral or physical probability measure. In this sense, it will depend on your intention. For potential future exposure, you may want to use the physical measure for the price evolution, while the distribution will depend on your model ...

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The (cash) index level is approximately 10 times the SPY price. Furthermore, for each ES contract you own you make or lose 50 USD for each 1 point change in the index future. (So for example SPY goes from 200 to 201, so SPX index goes from from 2000 to 2010, ES future goes from 1994 to 2004 (assuming a 6 point basis), if you are long 2 ES contracts you make ...

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