Questions tagged [futures]

Questions about futures contracts

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61 views

FX Futures pricing formula

I'm reading Paul Wilmott's Introduces Quantitative Finance and stuck a bit with formula $F = S(t)e^{(r-r_f)(T-t)}$ for FX futures pricing. I don't get how to incorporate $r_f$ into the formula, could ...
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0answers
24 views

Generalisation of calendar arbitrage condition to options on futures

This question has discussed the condition on which calendar arbitrage opportunities arise for European call options on a stock. Do similar criteria exist for European options on futures? The most ...
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difference between final settlement price vs future price [closed]

example :on 20th June, 2019, suppose trader A buys and trader B sells a futures contract that settles on the third Friday of September 2019. Then, on that date, A and B must perform — A agreeing to ...
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1answer
77 views

Discrete vs continuous

When pricing equity futures with the cost of carry model; When do you use continuous compounding and when do you just use discrete compounding? And why
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43 views

Futures data on Quantopian

I'm new to Quantopian and I'm not sure why I can't seem to see data for the e-mini futures ('ES') past around November, 2018. Have futures been discontinued?
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1answer
40 views

How are open and close price of mini snp futures determined

I'd like to know how are open and close prices of the mini snp futures contracts determined. For some reason I cannot find an answer to this basic question on the cme website.
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2answers
119 views

Reference on Futures basis trading strategy

I have heard that it is possible to trade on the futures basis. In my understanding, the futures basis is essentially the difference between the futures price and the underlying asset (also referred ...
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1answer
75 views

Pricing structured products (Mortgage Backed Securities) [closed]

What would someone have to do to be able to price a structured product like Mortgage/Asset Backed Securities?
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52 views

How would one go about pricing a FX future?

What model/equations would I require to calculate the price for a foreign exchange future? This is in an attempt to mitigate foreign exchange risk. Also, how could one measure a business's exposure to ...
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19 views

Does EFP (Exchange Futures for Physical) Involves Cash Exchange?

I am new to the concept of Exchange Futures for Physical (EFP). According to some sources (link), An Exchange for Physical (EFP) is a transaction involving the simultaneous exchange between two ...
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42 views

Hedge ratio: hedging a portfolio of global equities with futures

A bank decides to use $100 million of its capital to launch an investment strategy (seed money). The portfolio which is launched is made of global equities (say ~ 500 equities of different markets). ...
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2answers
128 views

Treasury futures cost of carry and P&L

I'm looking to understand the P&L implications of holding 2YR treasury futures. Assuming no movement in interest rates through to maturity (i.e., no capital gains or losses due to interest rate ...
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40 views

How can I graph futures options profit/loss when the options have different underlyings?

Consider a portfolio of vanilla SPX monthly options that consists of two components, a SEP 2019 3000 Call and a DEC 2019 3000 Call. It's easy to graph these as they both share the same independent ...
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2answers
140 views

Why are FRA/futures convexity adjustments necessary?

This would be my explanation for the reason that convexity adjustments must exist: Futures are margined daily, such that if a trader is paid a future and rates goes up then money is paid into their ...
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1answer
42 views

Relationship between tick size, tick value, and contract size?

For many options and futures I can see that Contract Size = Tick Value / Tick Size Are these values always related like this, and if so what does the relationship mean?
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How do you hedge with delta futures if payment is unsure?

A Czech company has a payable of 1,5 mil EUR that has got a settlement at the end of the current month and at the same time it is expecting a payment of 1,5 mil EUR at the half of the current month ...
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1answer
28 views

Term structure model for exchange-traded STIR futures and their options

As I understand, models such as the SABR extension of the Libor Market Model are the "standard" for interest rate derivative valuation in OTC markets, where options tend to be European and it is ...
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1answer
246 views

Why not just be long VIX and wait for the next volatile period?

Over the past 3 months, VIX has been relatively low. Therefore, there seems to be a "free-lunch" here by just being long VIX, and wait for the next market turmoil (which is happening at the moment ...
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1answer
29 views

CFTC Futures Market Positioning

What does CFTC total net contracts number imply about a currency? For example, if total net contract is positive does that mean market is long USD/BRL? Btw I’m checking numbers on Bloomberg, ticker is ...
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0answers
24 views

Do daily price limits on futures lead to loss of momentum in the spot price of the underlying asset?

I've just started reading Hull, which has made mention of price limits employed by futures exchanges 'to prevent large price movements caused by speculative excess [to protect the interests of ...
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76 views

simple question on bond futures pricing formula assuming continuous compounding

I'm reading a paper (Statistical arbitrage in the U.S. treasury futures market 2017), and have come across this derivation for the price of a bond future assuming interest payments and coupons ...
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1answer
47 views

Options on EuroStoxx Dividend Futures Data

Does anyone know where I could buy, scrape, or barter this data? Just need closing prices for each available strike going back as far as possible.
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1answer
29 views

Transactional costs for shipping in % based on futures market price

Real case: Imagine I want to move an oil for one terminal to another. I have about 20 +/- tanker companies, but all of them have max capacity on their top deadweight (DWCC) vessel about ...
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1answer
71 views

Computing FX forward returns using spot returns and an existing term structure

Sorry for the naive question, I am new to the area. I have YTD spot returns on the USD/GBP pair and a forward yield curve. How would one go about computing the forward returns in 2 years using this ...
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1answer
60 views

Is it possible to create an instrument on the amount of beds sold within the real-estate market

I have been doing some research on the PBSA (purpose-built student accommodation) market around the globe. The market is growing year on year there is an index on this market the cbre. What ...
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64 views

Performance Call on a Futures

I'm not a 100% on when a margin call is on a group of future contracts... The contract attributes were: ...
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1answer
91 views

Interest Rate Futures Question from Hull, 8e

There is this question 6.16 in Hull, 8e: Suppose that it is February 20 and a treasurer realizes that on July 17 the company will have to issue \$5 million of commercial paper with a maturity of 180 ...
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47 views

Deliver Futures before last trading day

I found that for the exchange traded Futures, we can deliver the Futures before the last trading day, namely you can sell a Future then deliver it immediately, which definitely has a arbitrage ...
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1answer
78 views

Difference between timing option, end of month option and wild card option of bond futures

I cannot understand the difference between timing option, end of month option and wild card option of bond futures. i think they are all timing options which is optimal delivery. Only difference is ...
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How to hedge PLN account on Interactive Brokers

I know that you can't have PLN account on IB, the PLN input is exchanged into USD, GBP etc. currency. However I would like to hedge the other currency exposure against PLN, or at least find out how to ...
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71 views

SDE of futures price under non-constant interest rate and volatility process

I'm trying to figure out the form of the SDE of futures price under the risk neutral measure, when stock price follows GBM:             &...
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1answer
40 views

Why currencies and futures contracts can be considered as assets with known yields?

I understand why stock index can be considered as assets with known yields due to the dividends. But why currencies and futures contracts can also be considered as assets with known yields? In the ...
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2answers
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What exactly is a contract's “trading class”?

Web searches for this are drowned in pages offering trading courses, and the InteractiveBrokers API doesn't expand at all on the term. So what are contract trading classes, and what are some examples,...
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2answers
80 views

Group name for currencies, equities and other financial products

I am working on a financial software system that deals with crypto currencies. This system has a model called 'Currency' that describes for example 'BTC' and market for which there is a 'base' and '...
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Calculating Risk of Portfolio of Futures/Future Options [closed]

all. I am looking into calculating margin on futures mixed with futures options. Say ES is trading at 2700 currently, I long 100 ES, 600k (Margin/risk). Then i buy 100 2680 puts. so Points Diff (...
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Does a shift in prices effect Margin on Futures and their options?

In regards to ES im wondering If theres a scenerio intraday (price shock) that will effect the amount of margin im carrying. Besides PnL Kind of a dumb question, as I guess its just a function of ...
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Valueing a Short future contract with dividens [closed]

A forward of an underlying paying a yield $q$ can be priced with the equation: Price $= S_0 e^{(r-q)*t}$ or Price $= (S_0-I)e^{rt}$ Where $S_0$ = Spot price, r = interest, q = dividend yield, I = ...
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1answer
45 views

When calculating theoretical futuresprices for oil, how do you calculate the storage costs?

I have read that the terminal cost can typically be 0,15-0,5 dollars per barrel, but are you also supposed to include the cost of capital (WACC) when calculating the total cost? Why? Why not?
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Is it possible to estimate the average convenience yield on brent crude oil for 2018?

If it is possible to estimate it, how does one do this, and what is it?
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What are the trade offs when choosing a long term bond future to trade?

It seems that when trading long term bonds *** and choosing between the two offerings on CME one is presented with a Scylla and Charybdis decision. 1. VOLATILITY CONSISTENCY: Ultra U.S. Treasury Bond ...
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4answers
414 views

Bond ETF vs Bond Future for longer term holding

How would a long term investor go about evaluating the prospect of investing in a bond ETF vs a long position in a future of equal duration? Let’s asume this investment is in a taxable account. Let’s ...
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1answer
96 views

Good References for Treasury Futures Spreads

I’m reading the excellent Treasury Bond Basis by Burghardt. I was wondering if there’s a similar quality book/paper about Yield curve spreads using treasury futures (i.e. NOL, NOB, FYT).
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1answer
106 views

How can I approximate the hedge ratio for Inter Commodity Treasury Spreads?

Looking at the excellent CME Treasury Analytics tool, I can see that the hedge ratio for spreads betweend diff treasury futures is derived from the DV01 of each leg. I can get treasury futures data ...
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1answer
77 views

Which methods are there to determine the price of futures contracts?

Which method apart from the cost of carry model exists, and which works best in real life? How does the market expectations impact on the futures price?
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pricing of futures

When pricing futures with the cost of carry model; When do you use continuous compounding and when do you just use simple compounding? AND WHY? Also, when deriving proof of no arbitrage with the cost ...
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1answer
209 views

how to derive the cost of carry formula

Can anyone explain why the cost of carry formula looks like this: $$F_0 = S_0 \cdot e^{(c-y)T}$$ ,where $S_0$ equals the spot price when $T=0$, i.e. today. $c$ denotes the cost of carry and $y$ the ...
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1answer
86 views

Getting rate from a share's given futures price, with known dividend information

Question was answered by @Ezy - thanks! This seems to be a basic question, but mysteriously unsolvable as far as I can see. It concerns calculating the interest rate from a given stock futures ...
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1answer
67 views

Are bitcoin futures daily settled at T+1 or is there another mechanism?

As in the title, are bitcoin futures daily settled at T+1 or is there another mechanism? Both CBOE and CME
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What is the use of undiscounted Futures/Option Prices

Reading the great book of Gatheral on Vol Surfaces (link) I can't help but notice that throughout he uses undiscounted option prices (though he obviously never assumed rates to be zero). See e.g. ...
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62 views

Synthetic equity index futures calendar spread using options

I understand it is possible to synthetic a future using long call and short put ATM options which has the same expiry as the futures. Can we do the following to synthetic a future calendar spread? $...