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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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, ...
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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 ...
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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 ...
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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 ...
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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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how to calculate the implied interest rates using STIRs futures?
I saw a post of trader sharing his expectations of implied interest rates on different meetings dates of different Central banks using STIRs ScreenShot and am trying to figure out how he did it ?
my ...
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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 ...
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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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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.
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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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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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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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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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 ...
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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 ...
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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 ...
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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/...
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How to make a trading universe of liquid futures contracts
I am forming a universe of liquid futures/liquid FX forwards. I want a list of all liquid contracts, the key word being liquid. This is for an academic project, but you could imagine liquid being ...
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Predict Futures Prices based on weather + agricultural data
I’m working in the area of Data Mining and have come up with the following idea for my Masters project.The text may not be the best structured but it’s a working draft to give you a quick idea.
...
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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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How did traders calculate that the expected number of rate hikes is 4 based on eurodollar futures on 15Feb2018?
https://www.bloomberg.com/news/articles/2018-02-14/bond-traders-swarm-2019-fed-hike-bets-after-inflation-surprise
After a Wednesday report showed consumer prices rose in January by
more than ...
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Convergence of Spot and Futures prices
Any explanation I've found explaining why future and spot prices converge over time seem to only focus the explanation on why the spot and future price must be equal at maturity.
I understand that if ...
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What is the Rho of an option on a futures contract priced using the Black 76 model?
I wanted to quickly confirm some simple calculations for the Black 76 greeks and was making use of the formulas on this website:
http://riskencyclopedia.com/articles/black_1976/
I have an issue with ...
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What exactly is a deposit futures contract?
I have been working with Deposit Futures and the Brazilian One-Day Interbank Deposit Future but I can't get my head around them.
What exactly is delivered and when? What is the contract a right to?
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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 ...
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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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Nature of short VIX strategies
By now, we all pretty much know that the recent upsurge in the VIX Index caused the spectacular failure of some Exchange-Traded Products (ETPs) or Exchange-Traded Notes (ETNs) written on it. An ...
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Solve the Schwartz mean reverting PDE for option pricing using Euler explicit method (matlab)
Objective: Implement the Euler Explict Method for solving the PDE for option
prices under the Schwartz mean reverting model.
The price evolution of a commodity can be described by the Schwartz SDE
$$...
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$E[F_T] = F_0$ implies $p = \frac{1-d}{u-d}$? or is implied by?
From Ch 12 in Hull's OFOD, we compute the risk-neutral probabilities for a futures contract:
Later in Ch 17, futures options are valued, and we have the same result:
In relation to Chapter 16 and 17,...
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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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Delta one trading: dependence on repo rate?
I have heard a delta-one trader mentioning the dependency of its activity on interest rates, dividend yields and repo rates.
While I can understand the exposure he has to interest rates and dividend ...
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Interaction of SPY etf with futures?
In the discussion to this question JoshK mentioned that the SPY etf has special interactions with futures contracts. I am curious what this interaction might be in particular?
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ICE futures settlement prices change with zero volume and zero OI
I found that all of the electricity futures prices (on ICE) at a particular hub changed on December 2, even though a) most had zero open interest and zero volume, and b) the quoted prices are EOD ...
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For options on futures why is there no discounting?
Apparently for options on futures there's no discounting. Why is that, how do we demonstrate that, and , I would have thought the rate of interest the exchange pays you on your margin would have ...
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What happens to the perpetual future counterpart when my position is closed? (BINANCE FUTURES)
As far as I understand, perpetual contracts are like regular futures except they can be held open indefinitely. However, I don't know about any other brokers out there, but in Binance, when you open a ...
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Extracting continuous futures prices on different dates with the ratio adjustment
I extract continuous prices for a set of futures contracts using Bloomberg. I select the Ratio as adjustment with the Bloomberg default settings.
For instance, to extract the first/forward generic ...
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Is the forward price equal to the future price?
If $f^{T_1}(t)$ is the price of a forward and $F^{T_1}(t)$ is the price of a future on some stock, both maturing at date $T_1$ and with the assumptions:
no dividend
constant interest rates
no ...
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DI futures questions on formulas in spec
We are now building DI futures in our system for a customer who is planning to trade Brazilian DI futures in the nearest future
I have a couple of question on the specification and the calculations
...
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calculation of theoretical value of futures contract [closed]
we form a stock index by using only two stocks in the index.
One of the stocks is the Stock-A. The current selling price of the stock-A is 103 dollars and the second stock is the stock-B. The current ...
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Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?
How exactly would I go about investigating whether the S&P 500 stocks were currently over-valued compared with the price of the S&P 500 Index futures contract? Is it just a case of taking each ...
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