Questions tagged [futures]

Questions about futures contracts

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What is the most convenient data structure for backtesting a model of futures options prices?

I have an empirical model for the dynamics of futures prices in a particular market that I have implemented using a long series of the front five contracts. (I account for the roll in my model.) I ...
7
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788 views

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 ...
6
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1answer
120 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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440 views

How to calculate average entry price for perpetual swap contracts?

I'm trying to calculate the average entry price for perpetual swap contracts for use in back-testing a trading strategy, as per Bitmex's documentation: A Perpetual Contract is a derivative product ...
5
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165 views

Dividend Index Futures

My question is dealing with the proportionality between Dividend Index Futures prices and Index prices. Indeed, we in the past we used to do a simple regression between these variables and use the ...
4
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62 views

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 ...
4
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0answers
88 views

Are there academic papers on the 'term structure' of adverse selection for futures and options?

By term structure I mean a non-stationarity in the pattern of intraday adverse selection as a given instruments approaches its expiry. Note that I am interested in the adverse selection on the ...
4
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0answers
101 views

Estimating Number of “Day Trades” from Total Volume of Commodity Futures Contract

Looking at futures data I am trying to calculate/estimate the number of "day trades", i.e. positions that were initiated and closed during the same day, as distinct from those positions that were ...
4
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0answers
83 views

Is it important to equalize the minimum price fluctuation in pairs trading?

For example, suppose we were trading a strategy which buys one Brent contract and sells one Gasoil contract. The minimum price fluctuation for a Brent contract is \$10, and the minimum price ...
4
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0answers
124 views

Estimating two normal random numbers with one equation

Subtitle: Estimating the correlation of the shocks driving two commodities in two multi-factor models I am fitting two 2-factor models to electricity and gas futures, respectively. In order to ...
3
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77 views

Pricing of future options

I have the following question on futures options: There is a Black’s model, which is a variant of the Black-Scholes formula that is used to price stock options. The Black’s model prices future ...
3
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1answer
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 ...
3
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223 views

CME Rate Hike Probability Calculation

First thing first, CME has a tool to calculate fed rate hike probability from here. As of 11/20/2017, their probability distribution was like this: I have checked a couple Q&A sections on this ...
3
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385 views

Is there really a negative roll yield for futures in contango?

I am trying to wrap my head around how ETFs that track futures work (whether its USO tracking WTI futures or VXX tracking VIX futures). I have read online about how for normal contango environments, ...
3
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568 views

Optimal f (position sizing) without look ahead bias

My goal is to identify a systematic way to position sizing in the futures market. Let assume that I'm an investor with log utility. In addition, let assume that I'm reluctant in estimating the ...
3
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0answers
643 views

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 ...
3
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215 views

Assets cointegration: optimal inventory for futures market

I'm interested in HFT cointegration stratagies, and recently found interesting article "Algorithmic Trading of Co-Integrated Assets" The article describes mean-reversion strategy for N-assets. ...
2
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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 ...
2
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0answers
48 views

Option on Futures vs. Stocks

The Black-Scholes call on a Futures is valued as: $$ C_t=e^{-r(T-t)}[F_tN(d_1)-KN(d_2)] $$ It holds: $F_t=S_te^{r(T-t)}$. If I plug this back in, I get the Black-Scholes call on a stock: $$ C_t=S_tN(...
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92 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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92 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:             &...
2
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0answers
65 views

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 ...
2
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0answers
120 views

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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107 views

Monte Carlo Simulation of Spread Strategy. Two correlated assets vs One spread simulation?

I am trying to simulate paths of a certain spread strategy such as a calendar spread between two futures ( May Crude vs Aug Crude) using a Monte Carlo simulation. My questions is there a difference ...
2
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0answers
114 views

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 ...
2
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0answers
60 views

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 ...
2
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0answers
847 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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0answers
264 views

What is the best open source automated trading platform or options?

I would like a custom C++ Automated Trading Platform for Futures like Multicharts, or similar automated trading platform that I can put on my servers so its secure and fast. I have found this so far, ...
2
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0answers
892 views

How to think about dollar volume in Eurodollar futures?

This is a very basic question: Computing the notional volume for futures contracts usually consists of something like: $$V_F = N \cdot P \cdot M \cdot FX$$ Where $V_F$ is the dollar volume of the ...
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213 views

Market Exposure and Hedging

Normally the Market exposure associated with your stock/portfolio is your delta for that stock/ portfolio. Basic idea of hedging involved here is buying/selling respective futures depending upon ...
2
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0answers
160 views

Is there a general format for various sources of futures market-data?

I am developing a market-data engine that receives market-data from different futures exchanges. So I need a general format to deal with sources from different exchanges. Protocols like FIX only ...
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0answers
199 views

What is the highest frequency greek for options on futures on bonds?

I'm considering exchange traded options of futures on bonds. Options on bond futures are usually American, thus the Black model is out of question. Which is the most imporatant Greek with respect to ...
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24 views

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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0answers
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
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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0answers
13 views

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 ...
1
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1answer
38 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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0answers
42 views

CME Futures used in building LCH USD swap curve

To build a LCH swap curves, common benchmarks include cash rates, euro dollar futures and swaps. However, the euro dollar futures only exist in CME. So when you use euro dollar futures (only exist in ...
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1answer
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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0answers
80 views

Generalisation of calendar arbitrage condition to options on futures

This question has discussed the condition on which calendar arbitrage opportunities arise for European call options on a stock. Do similar criteria exist for European options on futures? The most ...
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0answers
59 views

Futures data on Quantopian

I'm new to Quantopian and I'm not sure why I can't seem to see data for the e-mini futures ('ES') past around November, 2018. Have futures been discontinued?
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0answers
61 views

How would one go about pricing a FX future?

What model/equations would I require to calculate the price for a foreign exchange future? This is in an attempt to mitigate foreign exchange risk. Also, how could one measure a business's exposure to ...
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0answers
59 views

Does EFP (Exchange Futures for Physical) Involves Cash Exchange?

I am new to the concept of Exchange Futures for Physical (EFP). According to some sources (link), An Exchange for Physical (EFP) is a transaction involving the simultaneous exchange between two ...
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0answers
48 views

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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0answers
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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0answers
66 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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0answers
25 views

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
43 views

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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82 views

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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0answers
123 views

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, ...