Questions tagged [futures]

Questions about futures contracts

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12 views

How to do simultaneous dual curve bootstrapping?

I wish to understand how dual curve bootstrapping is done? Lets say we want to bootstrap FF OIS curve and Libor 3 month fwd curve simultaneously. Lets also assume we don't LIBOR-OIS basis swap rates ...
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2answers
57 views

Which Nikkei225 futures contract to take?

I have a working (swing) trading strategy based on equity index futures in place. I enter and exit by giving market orders. The strategy generates roughly 40 trades per instrument per year. I want to ...
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44 views

Is the forward price equal to the future price?

If $f^{T_1}(t)$ is the price of a forward and $F^{T_1}(t)$ is the price of a future on some stock, both maturing at date $T_1$ and with the assumptions: no dividend constant interest rates no ...
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23 views

Futures vs Forward pricing with different interest rates using binomial model

I'm given the aforementioned parameters for a two-step binomial model where the underlying pays no dividend, $S_0=50$ and $T=2$. With this information I was able to calculate the risk-neutral ...
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Tailing the Hedge for Minimum Variance Hedge Ratio (Hull, 10ed)

I am an amateur reading Hull's Options, Futures and other Derivatives. I have encountered an issue similar to the one here: How to tail a hedge? (Question 3.26 from Hull, edition 10). The author ...
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39 views

Futures Carry for Index Spread Trade

This question is about a leveraged trade involving index futures. Let's use an example of buying two contracts YM futures and selling three contracts RTY futures. CME will give the trade a margin ...
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1answer
55 views

Backtesting with Level 2 depth of book

I'm new to automated trading. I'm in the process of coding the methodology I've been using manually for a few weeks into a quantitative algorithm using IBKR and Python. I read everywhere I should ...
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1answer
36 views

Calculating the theoretically fair value of this futures contract by assuming monthly compounding

I need a help for the following question: A stock index is constructed by including only two stocks in the index. One of the stocks (Stock $1$) currently sells for $250$ dollar and the other stock (...
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1answer
73 views

Calculating front month VIX future returns

I'm currently reading a paper* which deals with seperating the volatility of volatility index (VVIX) into a physical measure of volatility of volatility (RVVIX) and a risk premium of v.o.v (VVRP). To ...
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1answer
121 views

How are VIX futures being priced when the VIX itself is not being calculated because of circuit breakers

I see that CBOE has halted trading all SPX options, which means the VIX cannot be calculated. Yet VIX futures are still trading and we are very close to the last trade date for the March contract. I ...
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1answer
29 views

Historical energy market data for European power Futures and Options?

I have been trying hard to find some historical futures and options electricity data for EEX offerings. I need the data for a model I am writing, however I have not found any free resources so far. It ...
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114 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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Should he choose long position or short position? [closed]

On July 2, 1997, a a company is worry about the value of its Yen income over the next few weeks and makes a decision to hedge its risk by taking a position in the futures market. Right now, a futures ...
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1answer
110 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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36 views

Create a Synthetic Single Stock Future

Is it possible to create a synthetic long single stock future using the stock and it's vanilla options with the caveat that selling naked puts is NOT allowed? That is, you can write puts, but they ...
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74 views

Why are equity futures so disconnected to the underlying index? Example

I am looking at ZWPH0 which is a future and the underlying index MSCI World. According to Bloomberg the prices are as follow: 13 March 2020: MSCI World 451 / ZWPH0 5234 16 March 2020: MSCI World 410 /...
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101 views

Why are options on commodity futures traded instead of options on spot commodities?

When people mention "commodity options", they almost invariably mean "options on commodity futures contracts". Why do commodity options have futures as underlying, and not the commodities themselves ...
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73 views

calculation of theoretical value of futures contract [closed]

we form a stock index by using only two stocks in the index. One of the stocks is the Stock-A. The current selling price of the stock-A is 103 dollars and the second stock is the stock-B. The current ...
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89 views

How to handle the volume spikes near expiration for futures contracts?

Are there any common practices to handle the volume spikes that occur near expiration of a futures contract? I intend to use volume of futures contracts as a predictor. However, due to the rolling ...
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87 views

Understanding the notion of future options

I am currently studying different types of option-related derivatives and I am quite confused about the notion of “futures options”. My textbook says that A futures option is the right, but not ...
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1answer
91 views

Crude Oil futures contract delivery

Today was a historical moment with prices for Crude Oil futures contract failing below 0. My question is, if you are a contract holder - can you just refuse the delivery, given that the contracts are ...
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39 views

Is there any website for a detail chronological description of U.S. index futures market development?

Is there any website for a detail chronological description of U.S. index futures market development? I have searched online for some time but unable to locate particular focus on index futures market ...
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52 views

Is there a reason why futures and options have more substitutes than other financial instruments?

This is somewhat non-technical question, but it seems like this forum is still the best place for it. I'm reading Shleifer's Inefficient Markets, where he points out that [...] for futures and ...
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88 views

impact of bond futures conversion factor on calendar spread trading

i have a quick question about conversion factor and his implication in calendar bonds roll trading. I go short on a calendar roll (short front+long back) which has the same cheapest to deliver. The ...
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60 views

How to detect price anomalies in HFT?

Let's say I'm developing an HFT application and seeking arbitrage in futures markets between MAY contract(M) and JUNE contract(J). In this strategy, my spread is ...
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125 views

How to make a trading universe of liquid futures contracts

I am forming a universe of liquid futures/liquid FX forwards. I want a list of all liquid contracts, the key word being liquid. This is for an academic project, but you could imagine liquid being ...
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53 views

Hedge performance in times of volatility: Beta changes impacting PnL during market rebound

I hedge a portfolio of Global Equities (200 stocks within MSCI World universe) by shorting futures on MSCI World Net Total Return. The hedge is calculated using Beta. Beta is calculated using a risk ...
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Eurodollar Futures Contracts Technical details

My textbook provides the following definition: A Eurodollar futures contract is traded on the Chicago Mercantile Exchange and: • Is a commitment to deliver a $1mm Eurodollar time deposit with a 3-...
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82 views

Finding ISIN of current/past futures

Where can I find the ISIN of futures on say SP500 eg ESM20? Is there a way to retrieve ISINs for past futures contracts?
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66 views

Use futures contracts of different lengths to predict spot prices

So I am trying to see how future contracts prices with different time to maturity are able to predict the actual spot price of crude oil at the time of maturity for the contracts. I have the simple ...
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Balance sheet items which might show exposure to hedging or the prevalence of forward contracts

I do have a panel data set on North American companies from Compustat covering balance sheet and income information. I am wondering if there is a possibility to use a balance sheet variable as an ...
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2k views

Negative price of oil

Yesterday and today, some kinds of oil have been traded for negative prices. Does it mean that I can take oil from seller and at the same time I get money? Or is the negative price connected only ...
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45 views

Which dates are optimal for monthly rebalancing of a futures portfolio?

As there are microstructure issues with the commodity market, e.g. the Goldman roll, is there any research on when it is optimal to monthly rebalance?
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149 views

What happens to farmers' futures contracts if a natural disaster destroys their crops?

Suppose I am a farmer who entered into a futures contract to deliver crops in 6 months. Suppose that a natural disaster destroyed all my crops just before the delivery date. As a result, it will be ...
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163 views

Modelling roll-over and roll yield in a forward strategy

This is a post which serves as a follow-up question to Nature of short VIX strategies. I am trying to understand where the change in value in a synthetic strategy constructed from futures comes from: ...
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IG - WTI Spot Price vs Future

I am a beginner and have a basic question. I was looking at OIL - US Crude in IG today (20th of April), they have a spot and a future contract. Today was the last trading day for May future ...
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214 views

When would open interest equal trading volume?

I know the difference between open interest and trading volume. Open interest is the number of contracts, long or short, outstanding. Trading volume is the number of contracts traded in a day. ...
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105 views

What is the cheaper IR hedge: Futures or IRS?

Let's take the following idea: Your objective is to hedge interest rate risk. You decide between Futures and IRS: You can sell bund futures (10Y bond equivalent): Price 177.70 Theoretical coupon: 6%...
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101 views

What is the correct tick size for the Nikkei 225 mini futures?

I would like to know the tick size equivalent for the Nikkei 225 m futures contracts. I can find different information: https://www.barchart.com/futures/quotes/NPH20/profile with: Tick Size: 10 ...
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34 views

two separate minimum tick sizes for micro emini futures?

I see that the minimum tick for the micro emini futures contract (MES) is .25 (according to the page on CME's website here). I see a lot of changes in the price that are equal to half of that, though. ...
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41 views

How brokers' spread costs work?

I am trying to understand how to size and compare brokers' costs. As per my understanding, they charge customers on either or both spreads and commissions. The latters are straightforward: for each ...
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1answer
73 views

Oil futures price convergence

Looking at oil prices now(https://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude.html) May Futures - $20 June Futures - $26 Spot - $20 With price convergence theory, may futures ...
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PCAP Data: Knowing which CME trading instruments are contained within a packet

I'm looking for a way to determine which network packets contain certain trading products within PCAP data so I can extract their payloads. The plan is to plot the price of a chosen instrument over a ...
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28 views

Rolling Hedge Performance

So I have Time Series data for Gas Spot and Futures Prices (first 6 front quarters and first 3 front years) from 2009-2019 and I want to evaluate the performance of a 3- year static hedge vs. 3- year ...
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2k views

How can index futures trade 24/7 when the index doesn't change?

I have read that the E-Mini S&P 500 Futures trade 24/7, how is that possible? I mean the underlying stocks which form the index are traded from 9:30am-4pm - so outside of these hours the S&P ...
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Does a future contract's price show where investors think the underlying asset's price would be?

When the price of an asset's future contract is at a certain level, does that mean investors as a whole expect the actual underlying asset to reach that price level in the future?
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Decision making framework for trading consumption assets in a forward exchange market

I am working on a forward market with limit order books. My idea is to illustrate market operations and trading behaviors through discrete event simulation. Consumption assets are traded in the market,...
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42 views

Different performance between GLD, IAU and PHYS

At this very moment (about 10:15, 2020/3/24), GLD/IAU are up about 4.5% and PHYS about 3.5% What causes such differences? Gold bars are in short supply around the world (https://www.ft.com/content/...
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91 views

Difference between Price and Value in Forward and Futures

Consider forward and futures contract on a zero-coupon bond. Denote the time $t$ forward (contract) price on a $T_2$-maturity zero-coupon bond with delivery date $T_1$ as $F(t,T_1:T_2).$ Similarly, ...
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263 views

Large trend-followers: why use futures rather than ETFs?

There are a number of large trend-following CTAs that have been successfully running for 10+ years. Their main instrument is diversified futures. Why not ETFs (is it due to liquidity / scaling, costs, ...

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