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I would call these "constituents".


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1) convert the futures prices into forward rates by using forward rate= 100- futures price. You now have a chain of forward rates, starting with the rate from Sep 16 to Dec 16. 2) you need a rate from today to Sep 16. Use 2 month spot Libor 3) to calculate a zero coupon rate from today to any given date, chain together the relevant forward rates. eg ...


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these instruments are quoted as: 100 - yield. Thus 99.25 would correspond to a yield of 0.75 (%).


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It is not a dumb question, but very confusing to me at a basic level. The Open Interest in futures (what you call A) has nothing at all to do with the total production (what you call B). The futures market is just a derivative market, where side bets are made as to what the PRICE of the crop will be. You cannot use it to infer what the PRODUCTION will be. ...


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Leverage: futures usually require much lower margin than their ETF counterparts. For example /ES (E-mini S&P 500 futures) requires about \$4K overnight maintenance margin per contract (may vary by brokerage) to control 50 times the S&P 500 index (currently valued at about \$108K). This is over 20:1 leverage. Furthermore you do NOT pay interest on ...


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During the delivery month, the "net basis" defined as $$ CTD price - (conversion factor * futures price) $$ trades at around zero, otherwise there is an arbitrage. Therefore daily changes in the CTD price are equal to $ conversion factor * $ daily changes in the futures price. Hence it is appropriate that the invoice price change is also multiplied by the ...


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Any premium data provider (e.g. Reuters, Bloomberg) will provide this information. If you are looking for free data, you could check out the individual contract data on Quandl. Note that the contract that will expire next is not necessarily the most liquid contract, and that many underliers have multiple liquid contracts trading at any one time (especially ...


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Usually end-of-day prices refer to settlement prices; they are not the last price at which the instrument was trading during that business day. Settlement prices are important because they are the ones considered when computing the P&L for a given day and for posting margin requirements, if necessary. When markets are closed (during non-business days of ...



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