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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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 ...
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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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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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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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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 ...
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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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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 ...
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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. ...
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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 ...
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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 ...
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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 ...
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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 ...
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Forward/futures contracts that satisfy $F=S\exp(rT)$
I am interested in estimating riskless rates from forward/futures data. The standard forward pricing formula is given by
$$F=S\exp(rT).$$
From this we can solve the interest rate used in pricing as a ...
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Book that considers stochastic interest rate models in discrete time?
Are there any books that covers interest rate swaps, futures, forwards etc. but have a discrete time model? I would like to go deeper into this without having to worry about the stochastic calculus.
...
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Joint Distribution of Correlated Variables with Markov Switching
I am modeling a portfolio of correlated assets whose lack of liquidity can be reasonably described by a Markov-switching model. That is, not only is movement size among assets correlated, but so is ...
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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 options....
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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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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 ...
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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, ...
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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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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 ...
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option pricing using empirical distribution
I am looking for ways to express a directional bet on a commodity through futures options.
Assume that there's 50% probability that oil will spike up 100% in the span of 30% during the next 9 months ...
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Do you roll back the maturities and schedules when backtesting VaR for portfolios of bonds, options or future contracts?
I want to backtest VaR models which are applied to portfolios of products which have maturities (options and futures) and even schedules (bonds). I have a question which never came up when backtesting ...
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Should I train (and apply) a commodity forecasting model using nominal or real historical (futures) prices?
I am forecasting hourly power prices by applying Gradient Boosting to, among other variables, average monthly gas prices. The algorithm is currently trained on historical nominal monthly average gas ...
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Electricity Futures Risk Premiums With ARIMA
I am attempting to model long-term electricity prices using today's futures prices. Unlike most futures, electricity is delivered over a period of time (usually a month), rather than at a point in ...
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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
$$...
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Non-Linear Time-Dependent Volatility
My data consist of monthly electricity futures contracts. Unlike other commodities, electricity is delivered throughout a month (rather than on a specific date), which means that, as the active month ...
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Futures vs Forward pricing with different interest rates using binomial model
I'm given the aforementioned parameters for a two-step binomial model where the underlying pays no dividend, $S_0=50$ and $T=2$. With this information I was able to calculate the risk-neutral ...
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Tailing the Hedge for Minimum Variance Hedge Ratio (Hull, 10ed)
I am an amateur reading Hull's Options, Futures and other Derivatives.
I have encountered an issue similar to the one here:
How to tail a hedge? (Question 3.26 from Hull, edition 10).
The author ...
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Option on Futures vs. Stocks
The Black-Scholes call on a Futures is valued as:
$$
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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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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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:
&...
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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 ...
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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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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 ...
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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 ...
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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 ...
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commodity futures options data
I am trying to get my hands on some historical commodity futures options data for about 35 commodity futures.
So far in my search the only way I can get the data seems to be through the Commodity ...
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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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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, ...
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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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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 ...
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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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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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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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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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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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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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ETF Market Making Hedging
Suppose I am a market maker making a market on an S&P ETF. Suppose that I have calculated a fair ETF price of $395. My market therefore is 394.90 (bid) and 395.1 (ask). After my bid is posted I ...
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