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Questions tagged [futures]

Questions about futures contracts

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2
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1answer
156 views

For which would you expect the liquidity on instrument X to be the greatest: its spot, future, option or swap?

Would like $X$ to remain general, but if needed, let's say GBPUSD Exchange Rate. By liquidity I mean overal market volume across exchanges / ease of opening and closing positions / total notional ...
2
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1answer
69 views

Why do futures seem to be quoted in setllement price rather than cost of the contract?

What I would expect to see is the price of contract quoted: $$p = \frac{F-E(S)}{k}$$ where $F$ is the settlement price, $E(S)$ is the expectation for the price at expiry (often assumed to be just = to ...
2
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0answers
50 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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0answers
66 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 ...
2
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2answers
85 views

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 ...
4
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0answers
49 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 ...
1
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1answer
39 views

Understanding Front-End Spreads (terminology, lingo, convention)

Would appreciate a clear explanation as to what the OIS/Tsy spread and the TU OIS spread is. I've seen it being talked about in Wall St research reports but can't seem to find good explanations on ...
5
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1answer
137 views

When would open interest equal trading volume?

I know the difference between open interest and trading volume. Open interest is the number of contracts, long or short, outstanding. Trading volume is the number of contracts traded in a day. ...
0
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0answers
38 views

How to backtest a sample of trades to optimize stop loss on losing trades and profit targets on winning trades?

I have a history of hundreds of executed trades. Given those trades, I want to know if there's a tool or framework that can help me figuring out: What would have been the most cost efficient stop ...
1
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1answer
109 views

What happened to future price if rates become negative?

Imagine the spot price of a non deliverable and not paying dividend asset is 100\$. With positive rate, the theoretical formula $F = S \cdot e^{rT}$ give us a future price higher, let's say 105. If ...
1
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1answer
68 views

USDEUR instead of EURUSD futures for euros owner

If you own euros and you want to be long on EURUSD, wouldn't it be more logical and with less fees to open a position on USDEUR and do a margin deposit directly in euros instead of convert the euros ...
2
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2answers
55 views

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?
1
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0answers
30 views

Hedging Strategies involving Forwards and Options [closed]

"An investor or business with long exposure to an asset can hedge exposure by either entering into a short futures contract or by buying a put option. An investor or business with a short exposure to ...
8
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3answers
561 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
1
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1answer
55 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 ...
1
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1answer
87 views

Basis calculation

How does one calculate a fair value for a futures contract whose underlying is an Index? For example, how would fair value for ES futures be calculated using the prices of the S&P 500 constituents?...
0
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0answers
33 views

Which dates are optimal for monthly rebalancing of a futures portfolio?

As there are microstructure issues with the commodity market, e.g. the Goldman roll, is there any research on when it is optimal to monthly rebalance?
0
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1answer
68 views

Increase short positions in futures on oil

In this video on severe contango the author says that if the spot price is way under the futures price, a lot of people will buy oil on spot price and enter a short position. Then he says : ...it's ...
2
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1answer
98 views

FX Futures pricing formula

I'm reading Paul Wilmott's Introduces Quantitative Finance and stuck a bit with formula $F = S(t)e^{(r-r_f)(T-t)}$ for FX futures pricing. I don't get how to incorporate $r_f$ into the formula, could ...
1
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0answers
41 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 ...
5
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1answer
111 views

Discrete vs continuous

When pricing equity futures with the cost of carry model; When do you use continuous compounding and when do you just use discrete compounding? And why
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0answers
46 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?
0
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1answer
44 views

How are open and close price of mini snp futures determined

I'd like to know how are open and close prices of the mini snp futures contracts determined. For some reason I cannot find an answer to this basic question on the cme website.
2
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2answers
160 views

Reference on Futures basis trading strategy

I have heard that it is possible to trade on the futures basis. In my understanding, the futures basis is essentially the difference between the futures price and the underlying asset (also referred ...
1
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1answer
82 views

Pricing structured products (Mortgage Backed Securities) [closed]

What would someone have to do to be able to price a structured product like Mortgage/Asset Backed Securities?
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0answers
55 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 ...
1
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0answers
27 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 ...
1
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1answer
85 views

Hedge ratio: hedging a portfolio of global equities with futures

A bank decides to use $100 million of its capital to launch an investment strategy (seed money). The portfolio which is launched is made of global equities (say ~ 500 equities of different markets). ...
1
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2answers
253 views

Treasury futures cost of carry and P&L

I'm looking to understand the P&L implications of holding 2YR treasury futures. Assuming no movement in interest rates through to maturity (i.e., no capital gains or losses due to interest rate ...
0
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0answers
40 views

How can I graph futures options profit/loss when the options have different underlyings?

Consider a portfolio of vanilla SPX monthly options that consists of two components, a SEP 2019 3000 Call and a DEC 2019 3000 Call. It's easy to graph these as they both share the same independent ...
0
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2answers
198 views

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 ...
0
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1answer
63 views

Relationship between tick size, tick value, and contract size?

For many options and futures I can see that Contract Size = Tick Value / Tick Size Are these values always related like this, and if so what does the relationship mean?
1
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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 ...
1
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1answer
33 views

Term structure model for exchange-traded STIR futures and their options

As I understand, models such as the SABR extension of the Libor Market Model are the "standard" for interest rate derivative valuation in OTC markets, where options tend to be European and it is ...
8
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1answer
277 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
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1answer
29 views

CFTC Futures Market Positioning

What does CFTC total net contracts number imply about a currency? For example, if total net contract is positive does that mean market is long USD/BRL? Btw I’m checking numbers on Bloomberg, ticker is ...
1
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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 ...
2
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0answers
84 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 ...
2
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1answer
57 views

Options on EuroStoxx Dividend Futures Data

Does anyone know where I could buy, scrape, or barter this data? Just need closing prices for each available strike going back as far as possible.
1
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1answer
49 views

Transactional costs for shipping in % based on futures market price

Real case: Imagine I want to move an oil from one terminal to another. I have about 20 +/- tanker companies, but all of them have max capacity on their top deadweight (DWCC) vessel about ...
2
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1answer
75 views

Computing FX forward returns using spot returns and an existing term structure

Sorry for the naive question, I am new to the area. I have YTD spot returns on the USD/GBP pair and a forward yield curve. How would one go about computing the forward returns in 2 years using this ...
1
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1answer
63 views

Is it possible to create an instrument on the amount of beds sold within the real-estate market

I have been doing some research on the PBSA (purpose-built student accommodation) market around the globe. The market is growing year on year there is an index on this market the cbre. What ...
1
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0answers
64 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: ...
1
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1answer
95 views

Interest Rate Futures Question from Hull, 8e

There is this question 6.16 in Hull, 8e: Suppose that it is February 20 and a treasurer realizes that on July 17 the company will have to issue \$5 million of commercial paper with a maturity of 180 ...
1
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0answers
47 views

Deliver Futures before last trading day

I found that for the exchange traded Futures, we can deliver the Futures before the last trading day, namely you can sell a Future then deliver it immediately, which definitely has a arbitrage ...
0
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1answer
114 views

Difference between timing option, end of month option and wild card option of bond futures

I cannot understand the difference between timing option, end of month option and wild card option of bond futures. i think they are all timing options which is optimal delivery. Only difference is ...
0
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0answers
52 views

How to hedge PLN account on Interactive Brokers

I know that you can't have PLN account on IB, the PLN input is exchanged into USD, GBP etc. currency. However I would like to hedge the other currency exposure against PLN, or at least find out how to ...
2
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0answers
77 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:             &...
1
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1answer
41 views

Why currencies and futures contracts can be considered as assets with known yields?

I understand why stock index can be considered as assets with known yields due to the dividends. But why currencies and futures contracts can also be considered as assets with known yields? In the ...
1
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2answers
70 views

What exactly is a contract's “trading class”?

Web searches for this are drowned in pages offering trading courses, and the InteractiveBrokers API doesn't expand at all on the term. So what are contract trading classes, and what are some examples,...