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Questions tagged [futures]

Questions about futures contracts

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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
19 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
103 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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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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70 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
38 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
28 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
65 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
55 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
87 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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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
68 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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38 views

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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62 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
39 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
78 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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41 views

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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0answers
40 views

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
44 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
369 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
91 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
87 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
72 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
144 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
59 views

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

Question was answered well by @Ezy, thanks for his help! Full answer in the comments below my question This seems to be a basic question, but mysteriously unsolvable as far as I can see. It ...
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1answer
66 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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2answers
60 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? $...
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1answer
106 views

Derive a mathematical equation for Eurodollar future rate

If we suppose that r(t) follows a Vasicek model, which is: $$dr(t) = (\mu - \kappa r(t))dt + \sqrt\sigma dW(t)$$ How to derive an expression for Eurodollar future rate?
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1answer
42 views

Do option contracts inherit the currency and exchange of the underlying?

Given an underlying (e.g. future or an index), would options on that underlying trade in the same currency and on the same exchange? For example, options on FTSE100 index itself would trade in GBP on ...
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3answers
205 views

How does one price the market value and estimate the fair value of a bond futures roll?

Consider the current situation: we are entering December, meaning that the December futures are being rolled into the March futures (i.e. traders are selling their holdings of December futures ...
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1answer
64 views

Determining cost of carry for a future in Euronext.com [closed]

A snapshot from the trading book of the CAC 40 futures, on November 5 2018, is: Using the book prices, how can I compute the cost of carry implicit in the November and December contracts? Please ...
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1answer
144 views

Why are interest rate swaps the most popular interest rate derivatives [closed]

Interest rate swaps are the most popular interest rate derivatives. Is there a reason why they are more popular than other interest rate derivatives (e.g. forwards, futures)? Is it because they were ...
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53 views

Market Invariant for Commodity Futures

In the same sense that Meucci describes "compounded returns" as the invariant for equities and "changes in yield-to-maturity" as the invariant for fixed-income, what is the invariant for a commodity ...
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1answer
94 views

How does an exchange guarantee both legs of a calendar spread are executed atomically to give a specific spread?

In commodities/oil you have monthly contracts for a given Future, e.g. on CME the Crude Oil Futures (CL) monthly contracts can be trades, and have Globex codes such as CLZ8(Crude Oil Dec18 Future), ...
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1answer
564 views

Delta One Trading business [closed]

I don't really know what exactly Delta One desks are doing. So I was wondering if anyone was kind enough to share any papers, articles, blogs that kind of explains Delta One trading Desks activities ...
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1answer
60 views

Track an index with futures only: what to do with the cash?

Suppose your mandate is to track S&P500. Suppose the mandate size is $ 1,352,500. The contract size of the future is 50, today's index price is 2705. If I buy 10 contracts my exposure will be ...
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3answers
297 views

How to get historical fed funds futures data from Bloomberg?

I'm look for historical data on the 30-Day Federal Funds futures contract, in order to replicate the results of the following article: https://www.sciencedirect.com/science/article/pii/...
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1answer
104 views

Difference between settlement of Eurodollars and FRA

I am going through J.C. Hull's chapter on FRA and EuroDollar Futures. Taking the case of FRA. I assume $T_0$ is the time when two parties entered into a FRA to fix interest rates they get on a ...
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1answer
49 views

Futures options data [duplicate]

I've been looking into futures options data for my thesis. What are some sources to get futures options data for an affordable price?
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2answers
142 views

Cumulative Return on Futures

In my current backtesting, I am using log returns as a proxy for simple returns via the relationship $\ln(1 + r) \approx r$ for small enough r. This gives me wonderful properties like time additivity, ...
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1answer
45 views

Future expiry day of month rules

Some futures (most currencies, indices) expire on the 3rd Friday of the month. Are there similar rules for other futures like commodities, metals, energies, etc.? Regards,
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104 views

Why futures pricing not calculated like options?

I have read about futures and options ( from online resources ). I only have the basic understanding,not math heavy ( for eg. for Black Scholes I know only the intuitive idea from the khan academy ...