Questions tagged [futures]
For futures contracts, instruments which compensate the trader for price changes, may be used to hedge price risk (i.e. lock in a price), and are in zero net supply, standardized, exchange-traded, margined, marked-to-market, netted, and centrally-cleared.
647
questions
33
votes
5
answers
14k
views
What is a good broker for HFT?
Currently I trade trough IB. I run my HFT strategies (100 roundtrips per hour) but I think that latency is killing me and my profits are shrinking. I need the fastest possible brokers out there which ...
- 2,707
28
votes
6
answers
14k
views
Why is the VIX futures market usually in a state of contango?
I'm a VIX newbie and I'm trying to understand why the VIX futures market is usually in a state of contango.
All I can figure is that the sellers of VIX futures contracts demand high "prices" (because ...
- 383
22
votes
2
answers
3k
views
How to execute a large futures order?
I am currently trading futures products on some contracts that have low volumes. More accurately, the volumes of working orders in the book are fairly light. I am trying to execute a relatively large ...
- 323
22
votes
2
answers
4k
views
Is there a standard method for getting a continuous time series from futures data?
I would like to be able to analyse futures prices as one continuous time series, so what kinds of methods exist for combining the prices for the various delivery dates into a single time series?
I am ...
- 757
19
votes
3
answers
4k
views
How to incorporate technical indicators into neural networks?
I plan to develop a neural network to trade commodities futures, but while messing around with some code, a question came up. If I understand correctly, people use various technical indicators with ...
- 191
18
votes
2
answers
2k
views
Where to find Greeks for futures to form delta-hedged futures portfolio of S&P 500 index/futures
I can't find S&P 500 index (SPX) futures data with Greeks to create delta-hedged portfolios. Do these data exist? I have access to most of the common data sources.
In the meantime, I am trying to ...
- 4,501
16
votes
3
answers
7k
views
How can one compute the Greeks on VIX Futures
I am guessing the short answer to this question is "use the chain rule and linearity of the derivative," but I am looking for more specific advice on how to compute the derivatives of a VIX futures ...
- 2,846
15
votes
3
answers
8k
views
What continous adjustment methods are firms using for futures backtesting?
There are several methods available between data vendors and associated software programs to adjust futures contract data for historical simulations.
Some of the methods are:
1) Back or forward ...
- 775
13
votes
4
answers
2k
views
Why are stock index futures not used to forecast how much the stock market will rise, given that interest rates futures are used for this purpose?
In news articles, the reader often read interest rates forecasts calculated based on interest rate futures.
An example is here;
How did traders calculate that the expected number of rate hikes is 4 ...
- 1,037
13
votes
2
answers
810
views
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 ...
- 1,037
12
votes
1
answer
3k
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 ...
- 793
12
votes
3
answers
7k
views
How does one estimate the probability of the Fed increasing its benchmark rate based on Fed funds futures?
How was this 67% probability calculated from Fed funds futures?
Fed funds futures show a 67 percent chance the central bank will
increase its benchmark rate by year-end from virtually zero, ...
- 1,037
12
votes
1
answer
4k
views
Pricing Treasury futures
I've recently learned that at the delivery of Treasury futures the short side can decide which of the $n$ Treasury bonds (with relevant maturities) to deliver. If the short side chooses to deliver the ...
- 1,484
12
votes
1
answer
9k
views
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
$$ \frac{...
- 326
12
votes
2
answers
888
views
Why are futures valueless?
I understand that futures exchanges are set up in such a way that traders don't pay cash in order to assume a long position on a futures contract; they simply "enter into" the contract, essentially ...
- 481
12
votes
3
answers
817
views
Price of Brent versus West Texas Intermediate
As of right now, the price of Brent Crude is $\$$111.59/bbl and the price of WTI Crude is $\$$98.36/bbl. I'm well aware that futures markets don't set the spot price for oil, but actual supply/...
- 3,864
12
votes
1
answer
10k
views
Implied dividend estimation
I am looking at two different ways of estimating the expected / implied dividends from market data.
1. Dividend futures
I know that this asset class is not very liquid and might not be ...
- 1,471
12
votes
2
answers
4k
views
What is the basis risk between cash and futures government bonds?
I am currently working in a team responsible for maintaining a simple risk application for our bond desk and I am interested in knowing how to provide some sort of basic basis risk metric.
Our desk ...
- 193
11
votes
5
answers
29k
views
Are Futures exactly Delta One?
Delta of Future is exactly one I thought. This post here, says otherwise.
However, quoting John Hull again:
$$f = \text{Value of Future contract} = S_{t=0} - K \exp(-rT)$$
where $S$ it the spot ...
- 253
11
votes
4
answers
2k
views
Can the futures market's open interest predict commodity, treasury, and equity returns?
I came across this article and became curious. Can the futures market's open interest really predict market action?
- 1,044
11
votes
2
answers
978
views
Oil price model calibration with Kalman Filter and MLE in python
I am trying to calibrate a one-factor mean-reverting process in python 3. The process is defined as:
\begin{equation}
dX = k(\alpha - X)dt + \sigma dW
,
\end{equation}
where $\alpha = \mu - \frac{\...
- 143
10
votes
3
answers
2k
views
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 ...
- 527
10
votes
2
answers
4k
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 ...
- 115
10
votes
0
answers
450
views
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 ...
- 405
9
votes
1
answer
1k
views
Why not just be long VIX and wait for the next volatile period?
Over the past 3 months, VIX has been relatively low. Therefore, there seems to be a "free-lunch" here by just being long VIX, and wait for the next market turmoil (which is happening at the moment ...
- 1,219
9
votes
2
answers
263
views
Is spoofing financially risky?
It's alleged that Navinder Singh Sarao contributed to the flash crash by placing huge, fake, order for S&P Minis. Mr. Singh Sarao then cancelled the huge orders before they were filled. The ...
- 237
9
votes
1
answer
1k
views
Bond convexity Treasuries futures
I know that long-duration bonds, on a a single bond basis, exhibit convexity. However, do Treasuries futures prices and the 10 year yield exhibit the same property?
Below is a plot of continuous 10 ...
- 2,108
9
votes
2
answers
2k
views
Can one use options on Treasury futures to hedge a portfolio?
Can one use options on Treasury bond futures to hedge a typical fixed income portfolio? If so, how can one estimate the duration for an option on a Treasury futures contract, and taking this a step ...
- 193
8
votes
3
answers
792
views
What is the appropriate benchmark for a Long/Short VIX futures strategy?
Trying to figure out the benchmark for a L/S Vix futures stragegy, doesn't seem like only long or short Vix futures would be appropriate, any ideas? Thx
- 355
8
votes
1
answer
1k
views
Theoretical limits for contango and backwardation
What do you think would be the theoretical limit for contango? What about backwardation?
This was asked in an interview. I am still not so sure about the answer.
- 181
8
votes
1
answer
374
views
When Fed stops QE, Treasury Futures will go down in price, so... LEAP Puts are a good idea?
I think: when Fed stops QE (Quantitative Easing), Treasury Futures prices will go down.
Question 1: Am I right?
So... buying LEAP Puts (in Treasury Futures) would be a good idea.
Question 2: Am I ...
8
votes
2
answers
12k
views
Cost of rolling futures contracts
Futures are traded on margin, so that the P&L of any open position is realized on the posted margin. To maintain a constant exposure to the future, an expiring contract needs to be rolled into a ...
- 440
8
votes
1
answer
3k
views
What is the market standard for pricing VIX futures?
Pricing of VIX futures is complicated, because it is not possible to use a standard
hedging argument to get a value similar to stock futures.
What different approaches for pricing VIX futures exist? ...
- 410
8
votes
1
answer
665
views
Do futures have predictive value?
Futures closely mirror their underlying, as can be seen in the charts below. Eventually, at expiration, they reach the value of the underlying. However, they seem to show no extra information about ...
- 527
8
votes
1
answer
378
views
Bitcoin CBOE futures listed today. Why its premium to cash product?
Today, CBOE Bitcoin futures were listed.
I checked the price and was surprised that it has a premium to the cash price (Gemini exchange price from product specification) and am very shocked.
I ...
- 81
8
votes
2
answers
2k
views
Why is stock futures price much lower than spot?
What might be the reason for a futures price on a stock being much lower than the spot, i.e. stock price?
Spot = 8.30
Futures
M17 = 7.45
U17 = 7.23
The company does not pay dividends.
No-arbitrage ...
- 261
8
votes
1
answer
696
views
What are VIX back-month futures based on?
The VIX calculation is a weighted average of prices for front-month out-the-money options on the S&P index.
So for VIX futures, this makes sense for the front month vix futures (being based on a ...
- 1,872
8
votes
1
answer
3k
views
Constant maturity futures price methodology
What is the correct methodology to compute constant maturity futures price.
I've met in some papers that do the following. To create constant maturity synthetic futures prices with maturity $m = 30, ...
- 328
8
votes
1
answer
1k
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 ...
- 81
8
votes
4
answers
1k
views
How to price a futures spread option?
Let's say I have two futures contract $F_1(0,T)$ and $F_2(0,T)$ on two different correlated underlyings.
If I assume that both underlying follow a GBM with volatility $\sigma_1$ and $\sigma_2$ ...
- 11.2k
7
votes
3
answers
12k
views
How to Delta Hedge with Futures?
The theory of delta hedging a short position in an option is based on trades in the stock and cash, i.e. I get the option premium and take positions in the stock and cash.
In the classical no-...
- 13.8k
7
votes
1
answer
10k
views
How do Trade-At-Settlement orders work?
Can anyone explain how Trade-At-Settlement (TAS) order on futures market actually works?
I have heard that it is guaranteed execution at the settlement price (or with some offset). How can it be ...
- 208
7
votes
1
answer
26k
views
The difference between Close price and Settelment Price for future contracts
What is the difference between Close price and Settlement Price for future contracts?
Is there a defined rule for evaluating the settlement price or different rules are applied for each instrument/...
- 831
7
votes
2
answers
185
views
How to properly assess the costs of replicating an index via futures contracts?
I would like to validate this sentence, coming from a WSJ article:
The cost of holding a Eurostoxx 50 future, for example, has climbed
from an average of 0.07% of the contract value since 1998, to an
...
- 2,935
7
votes
1
answer
336
views
Did farmers really buy options on the CBOE? [closed]
I recently become interested in finance. Many books discuss options as simple examples of derivatives. I also read some "popular books". I read in "The Poker Face of Wall Street" that almost no ...
- 329
7
votes
2
answers
486
views
Need advice on finding forward spot rates
So this is a "work homework" question. As part of my job they are sending us through sort of a training course. I'm looking for advice, or a link to a site that explains how to do this with ...
- 173
7
votes
2
answers
811
views
Which volatility to use to price options on futures contract?
I have some questions regarding pricing futures options and I just want to be sure that my thoughts are correct.
I am trying to price options on futures for american & european style.
In the ...
- 155
7
votes
1
answer
2k
views
Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
I would like to model Korean government bond futures.
So far I know two concepts (just a short, incomplete description)
cash-settled futures (e.g. Australia): The average yield of a basket of bonds ...
- 13.8k
7
votes
2
answers
4k
views
Value at Risk for Futures Contracts
I would like to know how you would compute Value at Risk on a portfolio of futures i.e rates futures, commodity futures and equity. How do you deal with the discontinuous form of commodity futures for ...
- 101
6
votes
2
answers
10k
views
Determine the carry of a treasury bond futures contract?
Hi fellow financial market enthusiasts. I'm trying to understand my options as a retail investor. I want to leverage a cash bond portfolio but my broker does not allow that, so I want to use futures ...
- 138