# Questions tagged [futures]

290 questions
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### Are futures/forward contracts tradable in the middle of its life? If yes, how?

I think I'm having some trouble understanding what trading futures/forward contracts means. Assuming a market over the period $[0,T]$, for a European contingent claim $X_T$, my naive understanding is ...
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### Future Quotes on the S&P 500 Index

I am looking at the following quotes of the futures prices of the S&P 500: http://finance.yahoo.com/q/fc?bypass=true&s=ESM16.CME&ltr=1 The way I read this, the market thinks that ...
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### Dividend yield under Black 1976 formula for futures options?

I have a question regarding the BS 1976 formula for futures options. https://www.glynholton.com/notes/black_1976/ How do I deal with dividends under this model, assuming that the dividend yield is ...
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### When a particular bond is delivered, why there is the need to define a conversion factor? What is its utility?

Where, the conversion factor for a bond (by John C. Hull) is set equal to the quoted price the bond would have per dollar of principal on the first day of the delivery month on the assumption that the ...
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### How is this probability (45%) of Fed raising rates 3 times in 2017 calculated from Fed Funds market?

The probability of the Fed raising rates 3 times in 2017 is above 45%. What data and formula is used to calculate this probability? This Financial Times article is published on 17Dec2016. She ...
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### Reliable data sources of 1,2,3,5,10,30,60,320 minute S&P500 O,H,L,C,V data

I am looking for a reliable data source provider for 1 to 320 minute S&P500 data. Or the ES mini contract. Can anyone suggest a good source for this? Thanks! Andrew
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### Why does buying future options require margin?

An option is the right, but not the privilege, to trade an underlying at the strike price. Buying a stock option doesn't require any margin - I've just tested this with InteractiveBrokers, trying to ...
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### What time series and length should be used for a second-order derivative?

Let's suppose that there is an option on a futures contract, the underlying asset for the future is an index, and the future is a cash settled contract. In this case you have a second-order ...
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### Equivalents of E-minis in markets outside the US

E-minis include some high-liquidity lower margin market index future contracts with round-the-clock trading. However, volumes outside regular trading hours are much smaller. Are there equivalent ...
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### Falling Futures prices positively correlated with interest rates

I'm having trouble understanding how Futures are worth more than Forwards when price and interest rates are positively correlated but both declining. For instance, a Future with losses of -5 at T(n-...
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This has always been difficult to understand for me. How is the second futures contract valued in relation to the front month contract? My understanding is there are carry considerations (3 more ...
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### How to construct a continuous price time series out of futures raw data in Excel?

My object of research is corn futures: It is well known that corn futures expire 5 times per year: March, May, July, September and December. Due to their finite life that is limited by their maturity,...
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### Python Backtesting Framework Similar to Quantstrat

I use Quantstrat heavily for strategy research and optimisation. I have two Python developers about to join my team and would like to use it as an opportunity to diversify our research tools so we are ...
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### Futures contracts [closed]

In a Text book the following is giving as an example. Can someone plz explain the process?
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### Measuring the surprise element of policy actions

Dear fellow community members, Here is the excerpt from Bernanke and Kuttner (2005) that I need to apply to gather my data. "A measure of the surprise element of any specific change in the Federal ...
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### Two questions regarding cross-hedge

A company has to hold an underlying asset for one year and it is looking to use Brent Crude futures to hedge against changes in the underlying asset's price. Assuming there is no liquidity concerns ...
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### Is there a relation between total futures and the amount of production?

I have a multipart question about futures and production. Lets take corn as an example. We add up the total 1 year futures of corn, call this weight $A$ kg. Next, we can get a reasonable estimate of ...
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### 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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### Trying to understand T-Bond futures settlement. What am I missing?

Here's a puzzle I encountered when trying to understand how treasury bond futures (/ZB) are settled. Supposed I am short 1 September ZB contract at \\$170, and on its last trading day the contract ...
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### Calculating the interest rate from a EuroDollar Futues contract

I would like to calculate the interest rate from a EuroDollar Future Contract(say the Sep-16 Futures Contract is trading at 99.2575). From the interest rate, I would like to calculate the zero coupon ...
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### Need a reliable source of futures expiration dates

I am trying to determine (programmatically) what the current front month contract for a given futures symbol is. I would guess that all futures contracts expire on a standard time relative to their ...
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### Is futures contracts data only reported for business days?

After digging around a few sources of futures data (in particular Quandl and EOD Data), I noticed the data only reports for business days (i.e. Monday-Friday excluding national holidays). The NYMEX ...
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### What do you call a group consisting of stocks, etfs, and futures?

In the command line interface to my program, the user can create a basket of stocks, etfs, or futures by saying: basket = stocks basket = etfs basket = futures basket = options But I ...
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### How does this statement about the price of a prepaid forward on a stock follow?

I am self-studying for an actuarial exam on financial economics. This statement in the following problem/solution seems to imply that the prepaid forward price on a stock is the same as the prepaid ...
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### Calculating required funds on Futures trades

I'm coding in python a backtester for trading the Futures markets (equity futures, precious metals, bond futures, etc..). When I open a position long or short, I need to deduct an appropriate amount ...
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### How do I compute volatility and greeks of the american option on futures using matlab toolbox?

I have learned some knowledge on option pricing by myself at a very beginne level. I'm using Matlab R2009b finacial derivative toolbox. I found option pricing functions for american options on stock, ...
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### 30 Day Federal Funds Futures settlement price

A question regarding this futures: http://www.cmegroup.com/trading/interest-rates/stir/30-day-federal-fund.html It says that settlement price = 100 - [average of effective federal fund rate for ...
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### Calculation of Bond Carry from Synthetic future prices

I have only government bond yields with different maturities. How can I obtain sythetic future prices on bonds? After obtained the future prices, I am supposed to compute the return and carry returns.
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### Forward Exchange Rate Data: Germany x US

Would anyone know where I can find historical forward exchange rate data between germany and US, yen and US to download? In Bank of England website i already found. Thanks