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.
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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 ...
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Delta across futures markets vs respective micros
I short term trade futures markets, and I use the DOM (depth of market) and various volume indicators, like cumulative delta, and footprint charts. I used to trade MES, but I switched over to ES, and ...
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How does the underlying get delivered for electricity market derivatives?
I have been reading around energy markets recently and recent schemes such as Voluntary Carbon Markets, similar to the 'cap and trade' style of the Kyoto Agreement in 1997.
I have been reading in ...
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Using Quandl Continuous Contracts
I am trying to use Quandl data futures for backtesting some trading scenarios, specifically
Wiki Continuous Futures.
Following the documentation, I understand that the data-set contains continuous ...
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futures exposure targeting (spot vs futures price)
I'm confused over if I should use spot or futures price when targeting a certain exposure. There are many websites that state you should use the contract size * futures price. Other websites, however, ...
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I am trying to compute the the tail of a future roll using the ratio of forward dv01
I am trying to compute the the tail of a future roll using the ratio of forward dv01, per the link CME: Calendar Spreads with Tails : I am trying to compute the the tail of a future roll using the ...
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SOFR futures options margining
If we consider quarterly (or serial, or mid-curve) SOFR options, traded on CME. Are those options subject to margining? It is clear to me that their underlying (say, 3M SOFR futures) is margined as ...
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How would you build a yield curve for a cryptocurrency with only a perpetual futures market?
Assuming that hourly/daily funding rates are autocorrelated and revert to a long term mean, then perhaps the following would work:
Use the average of the last N day funding rate as as predictor of the ...
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Why historical data of futures contract price include data after settlement date of the contracts?
I am studying historical data of futures contract prices. I found there are price data after the settlement date of the contract. For example, for Hang Seng Futures with expiry date of Jun, there are ...
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Improve Trade Execution For Mid-Frequency Futures Systems
I know this is kind of a very open ended question but I am struggling with the following problem:
I have a futures trading system (operating on very liquid markets) that generates a prediction every ...
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Crypto perpetual futures contracts- How does the exchange fund the leverage?
Am I correct in saying that with the leverage system in crypto perpetual futures contracts, the user does not borrow from the exchange and the exchange does not have to borrow from external sources ...
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Eurodollar futures volatility
Considering each point is 2500, how can I get the volatility of the jun 24 contract? On tastyworks I'm seeing a 0.7% iv for the contract, how can I translate it to standard deviation? Ex:sp500 15%...
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General conventions in Futures prices for commodity
When I look into different Futures quotes of commodities in CME, all of them are based on Expiry month e.g. Dec-2024 etc.
However on the other hand, for fixed income e.g. Swaps, Swaption etc rates are ...
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Modeling switch and wild card option for a Treasury futures contract
I understand how to think about the switch option and wild card option in Treasury futures. I know how to model them and get a fair value separately. However, I do not think you can simply just add ...
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CME historical data of futures prices
Does CME provide any mechanism to freely download historical futures quotes for different futures traded there e.g. Henry hub NG?
I am looking for EoD data.
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How to best calibrate a short rate curve using (compounded) SOFR futures & swaps
If one imposes a form $r(t) = \text{...}$ on the cc. short rate, and aims to fit the short end of a SOFR (or another modern RFR) using futures, how would one best go about this within a "curve-...
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When Forward is a martingale under risk-neutral measure?
Why is such a proof for futures not suitable for a forward?
For futures we have:
$V_{t}$ is self-financing portfolio: $V_t = \frac{V_t}{B_t}B_t$, where $B_t$ is a riskless asset
Suppose $H_t$ - number ...
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Value at Risk for Portfolio of Futures
I'm working in a very small commodity trading company. They are not used to excel at all, so i built their trading sheet to follow open positions & past positions.
Now they asked me to calculate ...
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Understanding end-of-month options embedded in Treasury Futures
I'm struggling to understand the end-of-month option embedded in Treasury Futures.
Specifically, I'm looking at what would happen to CTD when yields rise or fall.
What are the main differences between ...
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Profit optimal algorithm for market clearing
There is a well known offline profit optimal algorithm for market clearing (matching buy-bids with sell-bids, visit for more details) which is based on bipartite weighted matching. This algorithm ...
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Pricing non-vanilla options on EuroStoxx50 dividend futures
Liquid vanilla EuroStoxx50 dividend futures options quoted on Eurex are calls or puts whose expiries are the same as the expiry of the underlying futures contract.
Is there any "simple" ...
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Carry/slide on Treasury CTD basis position
I'm trying to understand whether a long CTD basis position needs to incorporate slide/roll when computing basis net of carry (BNOC).
I am told the answer is no but I am not sure why. I am well aware ...
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Question regarding the accuracy of CME FedWatch Tool
I just accessed the CME FedWatch Tool at 10:27am ET.
It reported mid price of ZQZ2 as 95.8788 and a corresponding probability of 74.7% of 50bp hike at Dec FOMC meting (vs 75bp).
For December, as this ...
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Does Quandl offer raw futures data?
I am interested in downloading price data for individual futures contracts. For example, the price of the CBOT (CME) Wheat future ZWU3, which is the September 2023 contract for wheat, which will stop ...
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How can a future exhibit both normal backwardation and be in contango?
My understanding is that "contango", when describing the forward curve, describes forward prices that are above the current spot price, i.e. $F_{t+1} > F_{t} > S$. This is directly ...
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Convexity Adjustments Futures - Sensitivity
If the market prices of SOFR futures are obtained from CME, do we still need to compute convexity adjustments when computing the sensitivity of the IR future?
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How does unwinding of long BTC futures positions prevent further downside risk/decrease in prices of BTC/Crypto?
This seemed like the most appropriate stack exchange for this question even though the question isn't strictly quantitative, but I hope it's ok.
I read an article(Article Below) and can't seem to ...
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DI futures contract value on bloomberg
I am trying to understand the Contract value for DI1 futures on bloomberg. I assume the Price of 4.630 below is the CDI one day interest rate. Where does the Tick value of 9.6169 come from and how ...
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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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Black 76 and Asian Style Options on Shaped Power Futures
I am attempting to price a monthly lookback option on the gen-weighted average price of power at a particular solar plant over a given month. If the option settles at hub H, am I right to shape the ...
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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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Timeseries of cheapest-to-deliver bonds from Bloomberg
I am running a regression analysis on a bondxday panel to explain the variation in repo rates. The dependent variable is the ...
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Best way to lock in margin rate via hedging
I'm currently paying a 1.25% margin rate. This rate is based on the Fed Funds rate plus a margin. I would like to hedge against the possibility of this margin rate increasing. What is the best/...
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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 ...
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Best Method (Or Just a Good Method) of Predicting Intraday Volatility in Real Time?
I apologize if this is a stupid question, I'm a complete neophyte in academic finance but I am trying to learn.
I am trying to create an estimate of how likely indexes are to rise/fall by x% by the ...
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Why are FRA/futures convexity adjustments necessary?
This would be my explanation for the reason that convexity adjustments must exist:
Futures are margined daily, such that if a trader is paid a future and rates goes up then money is paid into their ...
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What is your preferred API/source for historic futures (ES) options pricing data and if possible, the Greeks? [duplicate]
Crowdsource question: What is your preferred API/source for historic futures (ES) options pricing data for the greeks? (NOTE: Over ten years ago, there was a similar question with several suggestions, ...
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Futures and Forward prices under the Heston model and their spread
This might seem like a very trivial question but I am really not so sure about it so I thought I post it here.
Assuming a Heston model of the form
\begin{eqnarray}
dS &=& (r-q)Sdt + \sqrt{v}...
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How to calculate returns for interest rate futures
Say we have the active German government bond future, RXH3 and we wanted to calculate a series of returns for the active contract.
Would we calculate returns on the daily price difference? And if so, ...
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Quantitative trading strategies with a focus on low-frequency dislocations
I am looking for references that are specific to quantitative trading strategies that exploit low-frequency dislocations in markets, which lend themselves as overlays for a strategic asset allocation ...
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Can Fed Funds Futures be seen as a Forward Rate Agreement?
Fed Funds Futures trades the average Fed Funds rate for the contract month. Following the paper mentioned in this answer, the rate implied by the contract can be compared to the term (forward) rate ...
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Continuous futures data roll adjustment
When I construct continuous futures data (Wheat futures for example), I get different results than barchart or tradingview. Examples below. The 1st image is my adjusted continuous data and the 2nd ...
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Why does forward price equal spot price at delivery? [closed]
Disclaimer: I understand this is a basic question that gets
addressed in most 101 textbooks. Yet I have reviewed many of them
not finding a satisfactory answer. Please bear with my
ignorance.
Suppose ...
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Algorithm / source to calculate historical expiry dates of futures
I can find several source on this site where to find expiry dates of coming futures contracts.
I am looking for a (e.g. Python) algorithm or a data source where I can find historical dates when a ...
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Gross Basis - Bond Futures
Just want to confirm - Gross Basis for Bond A, deliverable into a Future:
Gross Basis [A] = Clean Price [A] - Futures Price x CF [A]
where CF [A] = Conversion factor of Bond A.
Is this due to:
Gross ...
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Why do exchanges apply a fixed interest rate as part of the funding rate for perpetual futures?
Some exchanges, such as Binance, charge a fixed interest rate as part of the funding rate. Having longs pay shorts doesn't quite make sense to me because it causes spot to trade rich to perpetuals ...
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Cost of carry proof
I'm currently review Arbitrage Pricing in Continuous time by Bjork and am stuck on this concept:
Honestly I'm not too sure where to start as this chapter makes no mention of the Cost of Carry formula ...
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How do I hedge yield spread?
We'd like to offer a product in which a notional amount $(N)$ is given, and the underlying is spread $(s)$ defined as, say, 30Y yield minus 10Y yield (both from treasury YTM yield curve). At the end ...
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Questions on options cost of carry, and relationship to futures cost of carry
I'm trying to grasp what exactly the effects of higher ongoing interest rates are on holding calls/puts. I am not asking what the effect of a change in interest rates is on call/put prices.
I'm ...
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Predicting Bank of Canada Future Rate Changes Based on 3-month CORRA Futures [duplicate]
Earlier I asked a general question about how probabilities are derived from futures prices for derivatives related to the Bank of Canada's policy rate.
I have been advised the Overnight Index Swaps (...
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