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Questions tagged [futures]

For futures contracts, instruments which compensate the trader for price changes, may be used to hedge price risk (i.e. lock in a price), and are in zero net supply, standardized, exchange-traded, margined, marked-to-market, netted, and centrally-cleared.

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Under what circumstances is hedging a portfolio by shorting index futures profitable? (John C. Hull 11e Practice Questions 3.25)

This question is based on a claim made in both practice question 3.25 and section 3.5 of Options, Futures and Derivatives by John C. Hull, 11th edition. The question On July 1, an investor holds 50,...
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Quantlib - Clarification on iborStartDate in FuturesRateHelper

I'm currently working with QuantLib's FuturesRateHelper and I'm a bit confused about the iborStartDate parameter. According to the documentation and some code snippets, iborStartDate is used like this:...
Mitridate's user avatar
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SOFR Curve with Meeting Dates Jump Modelling

When building SOFR curve with meeting dates, i include 1m SOFR Futures and 3m SOFR futures to imply jumps from FOMC meeting dates, but two meeting dates might fall within the same quarterly futures ...
user73915's user avatar
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How to value 3mo SOFR Spreads one year out, 2yr out

How does one value a 3mo spread spread in the far out future from present if fomc meeting schedule is only published for one year, and even with fomc's dot plot, it just shows the median expectation ...
Borla312's user avatar
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How to correctly postion size back adjusted 'continuous' data while back testing?

I'm running into issues using back-ad'justed continuous data from IQFEED while back-testing. For example, with my data, HO is priced at \$-0.002 and at a later date HO is trading around \$2.50. If the ...
SirBenson's user avatar
4 votes
2 answers
298 views

A quant job interview question about (toy) futures

On Monday, you receive prices for each day of the week: $X_{1,1}, \ldots, X_{1,5}$. On Tuesday, you receive prices for Tuesday, Wednesday, Thursday, and Friday: $X_{2,2}, \ldots, X_{2,5}$. On ...
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Options on Futures, akuna question

From the below question, I am unsure why the option expiring in November is given by the January future. I thought it was a graphical issue, but it is supposed to look like it’s shifted to the right. ...
ayamathss1's user avatar
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How to Bootstrap a daily compounding future in QuantLib

Hi I am currently tying to bootstrap the F-TIIE curve for mexican swaps In the short term it uses the F-TIIE Futures. These F-TIIE futures are 1 month futures that start on the first day of the month ...
Fiesteban's user avatar
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variation margin affecting futures price

A quote from Natenberg's Option Pricing and Volatility, on stock index futures and how variation margin can change their price. Ignoring dividends, the fair value of a stock index forward contract is ...
APerson's user avatar
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Treasury Futures Roll Hedges

When you trade the US Treasury futures roll, why do you hedge with SOFR futures contracts for TU and FV and why do you hedge the stub (with SER futures weightings)?
wer_asd24's user avatar
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Expected return on treasury basis trades

There have been a lot of articles on Treasury basis trades. What types of levels are targeted in this trade? Am I correct in seeing that the basis seems to be less than 10 cents in the dollar so ...
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Calculating Implied rates from OIS and Futures

I've been trying to figure out how to calculate the implied rate for interest rate decisions by central banks using OIS and came across an explanation that I can't quite wrap my head around: Apart ...
Man Dem's user avatar
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Where can I find implied rates for central bank decisions?

Sometimes I'll see sources online say things like markets are pricing in a certain amount of bps rate cuts/hikes by the Fed or ECB (or some other central bank) for a certain monetary policy meeting ...
Man Dem's user avatar
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Spread Duration of a Fixed Rate Corporate Bond, with offsetting Futures Position

My question is relatively simple with respect to the below scenario: I take a $5m long position in a vanilla fixed-rate corporate bond with a spread of 1.50% for a YTM of 5%. These coupons are paid ...
fixedincome94's user avatar
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Do perpetual futures have initial and variation margins?

When trading perpetual futures (for example, on crypto), do the concepts of initial and variation margins take place? I'll expand on my point: Perpetual futures without leverage. For example, we want ...
Disciple's user avatar
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Basis for Forwards

Does the concept of a "Basis" for a forward based product make sense, or is it only ever explicitly for Futures? I understand the concept could mean the Forward Spot - Spot, but am not aware ...
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Futures: how is the orderbook computed?

I'm interested in CME futures, for example the SP500. And I wonder if the orderbook is just an aggregation of STOP and LIMIT orders? For example the following fictive orderbook: ...
Bertrand125's user avatar
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Two types of hedge : impacts on position carry

Think of an IG bond purchase, financed at 3M Euribor, in an inverted curve environment. The yield on the bond, Y, is below the 3M Euribor, at purchase. The investor is looking to lock in a spread over ...
A.S.'s user avatar
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How to construct continuous futures contracts with multiple maturities

I am trying to replicate the Schwartz-Smith (2000) model and having an issue understanding what the data is and how to generate it. Specifically, the authors use a table of continuous futures with ...
user86422's user avatar
2 votes
1 answer
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Why do unleveraged VIX ETPs have large beta relative to VX futures, with much faster decay?

I hope the title explains it fairly adequately. To add a little more detail, it's my understanding that VIX ETPs such as VXX and VIXY hold VX Futures as their underlying assets. I believe that this is ...
barneypitt's user avatar
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Constructing a monthly option from quarterly options and monthly futures

Say we have quarterly options and monthly futures where the strike price is based on the average price of spot during the corresponding period. There are no monthly options. Can I effectively ...
Sigma's user avatar
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Switch and wildcard option in WN

I am trying to get a better understanding on the switch option for the WNM4 contract. Usually the wildcard is the only option that’s important for WN but now it’s complicated by the wildcard option. ...
decaybeta's user avatar
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Long Bond & Interest Rate Futures Hedge - is it carry negative?

The situation is the following : A bank treasury book, finances its cash bond liquidity portfolio at Euribor 3m flat. The Euribor curve is deeply inverted. The bank invests in bonds with a positive ...
A.S.'s user avatar
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How to Correctly Price Currency Forwards/Futures [duplicate]

I am trying to understand how to price a forward contract on the GBP/USD currency pair and then compare my answer with current future prices on GBP/USD. If my understanding is correct I believe we ...
user71149's user avatar
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Open interest when closing out a position [duplicate]

According to CME's definition of Open Interest, if Trader A is long 3 contracts, and decides to sell 1, then the open interest decreases by 1. What I don't understand: if Trader A sells their contract,...
Will's user avatar
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Convexity adjustment future/fra in practice

The topic of Future/FRA adjustment has already been addressed on a theoretical point view, roughly we need a rate model to calculate the covariance between the money market account of the discount ...
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Convenience yield intuition on consumption assets?

Something I'm having difficulty wrapping my head around is the argument that commodity futures can be in backwardation due to a large convenience yield, for example "to keep a production process ...
rb612's user avatar
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Relationship Between the Equity Funding Curve and Equity Forward Curve

am trying to understand the core concepts of Equity Forwards Curve, Funding Curve and yield Curves (most sources online seem to focus on Interest rate related examples, so any sources for equity ...
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1 answer
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Future Contract Value

Soybean future on Bloomberg's security description, I see Contract size = 5,000 bushels price = 1,200 usd/bushel contract value = $60,000 How is the contract value of $60,000 derived? Isn't the ...
tkj80's user avatar
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How do I calculate implied convexity from futures vs swaps?

From STIR Futures - Trading Euribor and Eurodollar futures by Stephen Aikin, convexity is determined by comparing the zero rate on a swap with an equivalent set of futures. For example, using futures,...
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VIX future's lower and upper bounds

A Tale of Two Indices, by Carr and Wu (Jrl. of Derivatives, Spring 2006) As per the above paper of Carr and Wu (page 24 and 25), the price of a VIX future has for lower bound the fair strike of a ...
Wyngarden83's user avatar
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Futures Backtest

Trying to get my head around a simple futures backtest, namely trend. What I am struggling with is after back-adjusting (Panama canal) 10 year bond futures, I'm left with negative prices in the series....
flexington's user avatar
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futures exposure targeting (spot vs futures price)

I'm confused over if I should use spot or futures price when targeting a certain exposure. There are many websites that state you should use the contract size * futures price. Other websites, however, ...
JamieC113's user avatar
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I am trying to compute the the tail of a future roll using the ratio of forward dv01

I am trying to compute the the tail of a future roll using the ratio of forward dv01, per the link CME: Calendar Spreads with Tails : I am trying to compute the the tail of a future roll using the ...
viki's user avatar
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2 votes
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SOFR futures options margining

If we consider quarterly (or serial, or mid-curve) SOFR options, traded on CME. Are those options subject to margining? It is clear to me that their underlying (say, 3M SOFR futures) is margined as ...
Mushtandoid's user avatar
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1 answer
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Why historical data of futures contract price include data after settlement date of the contracts?

I am studying historical data of futures contract prices. I found there are price data after the settlement date of the contract. For example, for Hang Seng Futures with expiry date of Jun, there are ...
Clay ZHAI's user avatar
1 vote
1 answer
244 views

Improve Trade Execution For Mid-Frequency Futures Systems

I know this is kind of a very open ended question but I am struggling with the following problem: I have a futures trading system (operating on very liquid markets) that generates a prediction every ...
Neo's user avatar
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-1 votes
2 answers
146 views

General conventions in Futures prices for commodity

When I look into different Futures quotes of commodities in CME, all of them are based on Expiry month e.g. Dec-2024 etc. However on the other hand, for fixed income e.g. Swaps, Swaption etc rates are ...
Daniel Lobo's user avatar
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Modeling switch and wild card option for a Treasury futures contract

I understand how to think about the switch option and wild card option in Treasury futures. I know how to model them and get a fair value separately. However, I do not think you can simply just add ...
decaybeta's user avatar
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CME historical data of futures prices

Does CME provide any mechanism to freely download historical futures quotes for different futures traded there e.g. Henry hub NG? I am looking for EoD data.
augustine's user avatar
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How to best calibrate a short rate curve using (compounded) SOFR futures & swaps

If one imposes a form $r(t) = \text{...}$ on the cc. short rate, and aims to fit the short end of a SOFR (or another modern RFR) using futures, how would one best go about this within a "curve-...
CentralCee's user avatar
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118 views

When Forward is a martingale under risk-neutral measure?

Why is such a proof for futures not suitable for a forward? For futures we have: $V_{t}$ is self-financing portfolio: $V_t = \frac{V_t}{B_t}B_t$, where $B_t$ is a riskless asset Suppose $H_t$ - number ...
Strike's user avatar
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1 answer
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Value at Risk for Portfolio of Futures

I'm working in a very small commodity trading company. They are not used to excel at all, so i built their trading sheet to follow open positions & past positions. Now they asked me to calculate ...
Koba's user avatar
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Profit optimal algorithm for market clearing

There is a well known offline profit optimal algorithm for market clearing (matching buy-bids with sell-bids, visit for more details) which is based on bipartite weighted matching. This algorithm ...
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Pricing non-vanilla options on EuroStoxx50 dividend futures

Liquid vanilla EuroStoxx50 dividend futures options quoted on Eurex are calls or puts whose expiries are the same as the expiry of the underlying futures contract. Is there any "simple" ...
Olórin's user avatar
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1 vote
2 answers
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How can a future exhibit both normal backwardation and be in contango?

My understanding is that "contango", when describing the forward curve, describes forward prices that are above the current spot price, i.e. $F_{t+1} > F_{t} > S$. This is directly ...
rb612's user avatar
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1 answer
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Delta across futures markets vs respective micros

I short term trade futures markets, and I use the DOM (depth of market) and various volume indicators, like cumulative delta, and footprint charts. I used to trade MES, but I switched over to ES, and ...
Ali Ragb's user avatar
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1 answer
71 views

How does unwinding of long BTC futures positions prevent further downside risk/decrease in prices of BTC/Crypto?

This seemed like the most appropriate stack exchange for this question even though the question isn't strictly quantitative, but I hope it's ok. I read an article(Article Below) and can't seem to ...
Man Dem's user avatar
5 votes
1 answer
277 views

Does Quandl offer raw futures data?

I am interested in downloading price data for individual futures contracts. For example, the price of the CBOT (CME) Wheat future ZWU3, which is the September 2023 contract for wheat, which will stop ...
Charles Pehlivanian's user avatar
1 vote
1 answer
415 views

Convexity Adjustments Futures - Sensitivity

If the market prices of SOFR futures are obtained from CME, do we still need to compute convexity adjustments when computing the sensitivity of the IR future?
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