At work we use a system called FIS APT for risk management. I am trying to get my head around it and I noticed that futures are set-up by simply telling the system what is the underlying index (for example a T-Note or CAC 40).

It surprises me that no information on the maturity / settlement date is required. In your opinion, do tzo future contracts on the same underlying Bond or Index maturing two different future dates have different risk profile / volatility?



In the case of Equity indices or bond futures , the longest contracts traded are only a few months out, and the difference between the dynamics of these versus the front contract are small. In other words , the "roll" is not volatile.

In the case of Eurodollar interest rate futures, which are liquid up to 10 year expirations, or commodity futures, which can have significant term structures , there can be very different dynamics between the back contracts and the front contracts , so it does depend what underlying you are looking at.

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  • $\begingroup$ As a minor point, I would add that of all the stock index futures, CAC40 (which you mentioned) is the one with the shortest effective maturity, almost all the trading is in the future with 1 month or less to expiration, with almost no trading beyond that. (And in any case as dm63 said, the other CAC40 maturities move in lockstep with the first). $\endgroup$ – Alex C Dec 17 '17 at 17:40

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