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Questions tagged [futures]

Questions about futures contracts

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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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1answer
294 views

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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1answer
122 views

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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Convexity Adjustment for Futures

Let $B_t$ be the cash account numeraire. The future and forward prices at time t are expressed as: $$ Fut = E_t^Q\left[S_T\right],$$ $$ Fwd = \frac{E_t^Q[S_T/B_T]}{E_t^Q[1/B_T]}.$$ Where $$ \frac{...
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Deriving Cox, Ingersoll and Ross expression for the relationship between forwards and futures, how do they conclude a specific step?

I'm trying to derive a specific relationship about the relationship between forwards and futures from "The relationship between forward and futures prices", written 1981 by Cox, Ingersoll and Ross (...
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2answers
1k views

why futures contract has no value

Can any one tell me, why futures contract has no value? We know that the value of future(Maybe I confuse the concept of ...
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Spurious regression between two futures with the same underlying highly correlated (cor=0.9)

analyzing the correlation between soybean and soybean meal futures in ECBOT, and making a linear regression in R between them I check with an ADF Test that the residuals are not stationary, so ...
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4answers
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CME gold futures, do expiries follow any rule?

CME has a gold future expiration calendar: http://www.cmegroup.com/trading/metals/precious/gold_product_calendar_futures.html , which lists future contracts and their corresponding expiration date. ...
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Combine future contracts into time series [duplicate]

I have future contracts from 10 years back that are combined in one file. There is a gap in the data every month due to rolling of the contracts. How do I remove this gap ad get a smooth time series ...
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The effects of “cost of carry” and “convenience yield” in pricing futures and forwards

I understand that time-varying interest rates, “cost of carry” and “convenience yield” will have an effect on forward and futures prices but why would it affect the prices of forwards relative to ...
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1answer
882 views

Price of bond future, given a specific interest rate?

I'm interested in calculating what a theoretical price of the ZB or UB(Ultra Bond) futures would be priced at, given an interest rate of 1%. Or 0% If the 30Y interest rate is around 1%, what will ...
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1answer
80 views

Open Interest on Options on Futures

Is there anywhere that reports open interests or the max pain on futures such as Crude (CL), Natural Gas (NG), or E-Minis (ES)? I cannot seem to find this data, though I have seen it listed on trading ...
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1answer
80 views

How to compute the Value-at-Risk of an equity portfolio hedged using futures contracts?

I would like to have your opinions about how to calculate the VaR of a hedged portfolio using futures contracts. I have tried several "black box" softwares and none of them make too much sense. The ...
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commodity futures options data

I am trying to get my hands on some historical commodity futures options data for about 35 commodity futures. So far in my search the only way I can get the data seems to be through the Commodity ...
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1answer
159 views

Option on index vs option on index future

Cash-settled options on the S&P 500 index existed before options on futures on that index. Where would the demand for options on futures have come from prompting the exchange to begin listing them,...
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1answer
87 views

Return on investment in spreads

I have a hard time getting my head around this. Let's say you have a strategy that consists in buying one future spread, for instance CL Z7-Z8 (crude oil dec17 minus dec18). It's easy to calculate the ...
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Why is shorting (oil) futures a bit of a negative gamma trade?

From this article, http://www.zerohedge.com/news/2017-01-22/oil-speculators-have-never-been-long, "I get what you're saying about the price risk which is always the danger of shorting crude oil it's ...
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1answer
117 views

Textbook for US Treasury Bond / Notes Futures

Is the text The Treasury Bond Basis by Burghardt still the authoritative source on this topic? The most recent edition was published in 2005. I think that, based on the contents and others' ...
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1answer
122 views

why does index futures swing more than index?

why does index futures swing (in absolute) more than index, when index futures price is lower than index (Backwardation)? Say, SET50 Index(Thailand) is at 950, SET50 active Futures will be at around ...
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1answer
271 views

Variance Futures Trading

Maybe you can help me with the question about trading on CFE. With which broker can I trade S&P 500 Variance Futures (VA)?
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Pricing defaultable asset with finite maturity

Assume a stochastic process $X_0 = 0$ and $X_t = \nu t + \sigma W_t$ where $W_t$ is standard Brownian motion and $\nu$ is a drift (can have $\nu \leq 0$ if necessary, but prefer it to be general), ...
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Value of cash flow for a future in Shreve's book

In Shreve's book, the value of cash flow for a future of discrete case is $$\dfrac{1}{D(t)}E\Big[\sum\limits_{j=k}^{n-1}D(t_{j+1})(\textrm{Fut}_S(t_{j+1},T)-\textrm{Fut}_S(t_j,T))\Big|\mathcal{F}(t)\...
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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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1answer
160 views

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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1answer
67 views

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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2answers
422 views

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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1answer
897 views

How to trade interest rate futures calendar spread?

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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514 views

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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1answer
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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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1answer
48 views

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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2answers
289 views

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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1answer
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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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1answer
112 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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1answer
99 views

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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2answers
1k views

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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1answer
48 views

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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1answer
45 views

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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2answers
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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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1answer
122 views

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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1answer
160 views

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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1answer
194 views

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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1answer
256 views

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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1answer
373 views

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
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long fra and a short ed future with same fixing dates, is convexivity negative or positive?

If you are long a FRA (forward rate agreement) and short a ED (Eurodollars) future with the same fixing dates, do you have positive convexity or negative convexity? Why? According to the following ...
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715 views

Calculating PCA hedge ratio for 3-leg spread

I'm wondering how can I find PCA hedge ratio for a 3-leg spread? I've taken the simple steps laid out in here. I've taken some treasury futures data for 2yr,5yr,10yr and ran the PCA. The first ...