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Questions tagged [futures]

Questions about futures contracts

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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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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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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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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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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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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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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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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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108 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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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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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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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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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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108 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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Drivers of front Eurodollar front future price

I know the front Eurodollar is most closely tied to 3Mo LIBOR fix published daily, as that is what it settles to. I also know information that affects expectations of very short term rate hikes will ...
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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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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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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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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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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 ...
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Option price of a future

This must be a dumb question. Consider a European option $V$ on a (stock) futures $F$. The hedging condition seems to be the same as that for a stock $$d\Big(V-\frac{\partial V}{\partial F}F\Big)=r\...
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The leverage effect for futures contract

Given the daily price data of equity and government-bond futures contracts, how can I identify the leverage effect (when prices move down, the volatility of prices increases), and see if it is ...
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What is the formula for calculating fair value of currency futures?

Let's use AUDUSD 6A futures contract as an example. How does the interest rate between AUD and USD give rise to the fair value calculation of AUDUSD 6A futures contract? Besides interest rates, are ...
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Compo Feature in Asian Option on Futures

I'm pricing an Asian option on futures using Turnbull–Wakeman (other suggestions welcome) where the average is defined as $A _ { t _ { 1 } , t _ { n } } ^ { A , f } = \frac { 1 } { n } \sum _ { i = 1 }...
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Do you receive premium from selling VXTY futures?

I am having some difficulty understanding VXTY futures and how they are priced. The contract specs say it is priced off of OZN options (10yr UST futures options). I understand there is a premium ...
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Difference Between E-Mini SP500 Cash Future And Closest Expiring Contract?

What is the difference between the E-Mini S&P500 Cash Future (ESY00) and the closest expiring contract for the E-Mini S&P500 Future (prensently the ...
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128 views

Interpretation of PCA for commodity futures

I've done some PCA analysis of a portfolio consisting of futures on certain commodities. However, I am unsure of how to interpret the output as most of the information found online deals with fixed ...
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Modelling VIX futures backwardation

I have VIX futures trading algorithm and would like to perform Monte-Carlo simulation of VIX and understand how my algorithm performs on each simulation. In this case, not only VIX should be modeled, ...
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Replicating Futures from Forwards

Given we understand forward contract precisely with term structure of risk free rates, do we understand futures contracts as a continuous buying and selling sequences of forward contracts so that the ...
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158 views

why the implied repo rate is higher when choosing the last delivery date to deliver rather than first delivery date

there must be something very basic that I did not get.... I am reading a book. And it says the implied repo rate is defined as IRR = ( invoice price / cash bond price - 1) * 360/ n, where is the ...
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Dynamics of an option on a future

I have trouble understanding why $$V_s=exp(\int_s^t r_u du) \int_s^t exp(−\int_t^v r_u du)\theta_v dW_v$$ is the solution to the following SDE $dV_s=\theta_s dW_s+r_s V_s ds$. I tried of course with ...
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3M FRA futures convexity vs 3M OIS futures convexity adjustment

Let’s say I can trade 3M FRA va 3M futures, this will give me th level of 3M convexity (off the 3M curve). On the other hand, I can trade a 3M OIS swap (Sonia for example) va 3M Sonia futures (which ...
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Continuous Contract - which bar do I adjust given a roll date?

I have the following bars around an open interest roll date (all bars stated date, contract, settle, previous day open interest) for CME corn futures. ...
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Futures and Forward Prices vs interest rates

Textbooks usually state that if an asset's prices are positively correlated with interest rate movements, then its Futures price is going to be greater than its Forward Price assuming the same ...
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How to choose trades over time when capital is limited

Say I'm in the business of trading forward contracts. So at some point in time, I look at the markets, and determine a number of trades I could make. For each trade, I know the profit I expect to make,...
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Why is the value of a forward contract discounted to the present value?

I'm not sure if this question has been asked before, but it's a simple one. Let's consider a Forward contract on a non-income paying investment asset. We know that the Forward price on such an asset ...
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VIX/SPX Realized Beta Calculation

In https://globalmarkets.bnpparibas.com/r/Volatility_Express_20171128.pdf?t=BG3REXwMP3NZJRN7wY5Vt&stream=true, it states that 3M VIX/SPX realized Beta calculation: Use a blend of 1st, 2nd and 3 ...
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Index implied repo gerater than the stock repo

I've observed that the repo rate implied from options on Euro Stoxx 50 is significantly higher than the repo rate implied from options on individual stocks that are constituents of the index. This is ...
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How do you calculate or estimate the future gross basis of a treasury future?

Gross Basis for treasury futures = clean price - future price* conversion factor Is there a way to estimate the gross basis, say 10 days from now, given that you know what the forward bond price is? ...
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get base asset price for bond future

Is it possible to obtain the base asset price (underlying price) for futures using the first and second periods future. like let's say we have $ FGBL_1 $ first future and $FGBL_2$ second future. $ ...
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76 views

At what time (BST) are interest rate futures settled daily on Eurex Exchange?

ie, what is the earliest time can I expect to see settle prices for all interest rate futures (ie, BUXL future, GILT future) on Eurex exchange? Is it 15:00 local time just like it is on CME ?
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How to delta-one hedge a IRD sensitivity on an intra-day basis (using eg, FX or bond futures)?

I'm looking to hedge an interest rate differential sensitivity (the output from a statistical model of spot FX rates) on an intraday frequency. What is the best way to do it? Important factors ...
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Pricing options using a binomial tree

The past few months, I have been taking the financial engineering course offered by Columbia. It is a great course but there is a huge disconnect between the theory they teach and the questions then ...
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Is it possible to buy/sell a futures contract with a non-zero initial price?

At creation, the strike price $K$ of a futures contract is determined using the formula $$ K = S_0 e^{rT} $$ where $S_0$ is the price of the underlying asset at time $t=0$, $r$ is the risk-free ...
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why do forward contracts have varying sensitivity to yield, but futures contracts do not?

I just watched https://institute.cmegroup.com/courses/introduction-to-eurodollars/modules/understanding-convexity-bias as I understand it, if the yield rate of a futures contract increases, the price ...
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When is it decided how the Futures Contract is to be carried out?

i.e, When is it decided that a Futures Contract is to be Cash Settled or done through Physical Delivery? Only at the start of the contract (and can't be changed later?) Or in between entering the ...
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What is the meaning of the quoted price of a treasure bond future? [closed]

When looking at treasure bond futures, there's a quoted price. But upon delivery, the exact time of delivery, the accrued interest, and the delivered bond is unknown, so we cannot know the price we ...
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MOM-TOM effect, Replication strategy

I have several questions on Otto van Hemert paper "The MOM-TOM effect: Detecting the market impact of CTA trading" (link). In section 3 he proposes a replication strategy for the Newedge Trend Index ...
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Settlement of VIX derivatives

Currently reading the paper of John M. Griffin and Amin Shams "Manipulation in the VIX?". My questions has to do with settlement of VIX derivatives (options and futures on VIX). The paper states that ...