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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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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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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Why do unleveraged VIX ETPs have large beta relative to VX futures, with much faster decay?
I hope the title explains it fairly adequately.
To add a little more detail, it's my understanding that VIX ETPs such as VXX and VIXY hold VX Futures as their underlying assets. I believe that this is ...
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Basis for Forwards
Does the concept of a "Basis" for a forward based product make sense, or is it only ever explicitly for Futures? I understand the concept could mean the Forward Spot - Spot, but am not aware ...
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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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Two types of hedge : impacts on position carry
Think of an IG bond purchase, financed at 3M Euribor, in an inverted curve environment.
The yield on the bond, Y, is below the 3M Euribor, at purchase.
The investor is looking to lock in a spread over ...
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Futures: how is the orderbook computed?
I'm interested in CME futures, for example the SP500. And I wonder if the orderbook is just an aggregation of STOP and LIMIT orders?
For example the following fictive orderbook:
...
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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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How to construct continuous futures contracts with multiple maturities
I am trying to replicate the Schwartz-Smith (2000) model and having an issue understanding what the data is and how to generate it. Specifically, the authors use a table of continuous futures with ...
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Constructing a monthly option from quarterly options and monthly futures
Say we have quarterly options and monthly futures where the strike price is based on the average price of spot during the corresponding period. There are no monthly options.
Can I effectively ...
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Switch and wildcard option in WN
I am trying to get a better understanding on the switch option for the WNM4 contract. Usually the wildcard is the only option that’s important for WN but now it’s complicated by the wildcard option. ...
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Long Bond & Interest Rate Futures Hedge - is it carry negative?
The situation is the following :
A bank treasury book, finances its cash bond liquidity portfolio at Euribor 3m flat.
The Euribor curve is deeply inverted.
The bank invests in bonds with a positive ...
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Resources to read more about/learn how implied pricing works
I was looking at this video today:
http://www.cmegroup.com/education/interactive/webinars-archived/implied-price-functionality.html
on implied pricing. And am aware that implied orders/pricing ...
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How to Correctly Price Currency Forwards/Futures [duplicate]
I am trying to understand how to price a forward contract on the GBP/USD currency pair and then compare my answer with current future prices on GBP/USD. If my understanding is correct I believe we ...
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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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Future Contract Value
Soybean future on Bloomberg's security description, I see
Contract size = 5,000 bushels
price = 1,200 usd/bushel
contract value = $60,000
How is the contract value of $60,000 derived?
Isn't the ...
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Open interest when closing out a position [duplicate]
According to CME's definition of Open Interest, if Trader A is long 3 contracts, and decides to sell 1, then the open interest decreases by 1.
What I don't understand: if Trader A sells their contract,...
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Convexity adjustment future/fra in practice
The topic of Future/FRA adjustment has already been addressed on a theoretical point view, roughly we need a rate model to calculate the covariance between the money market account of the discount ...
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Convenience yield intuition on consumption assets?
Something I'm having difficulty wrapping my head around is the argument that commodity futures can be in backwardation due to a large convenience yield, for example "to keep a production process ...
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Relationship Between the Equity Funding Curve and Equity Forward Curve
am trying to understand the core concepts of Equity Forwards Curve, Funding Curve and yield Curves (most sources online seem to focus on Interest rate related examples, so any sources for equity ...
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How do I calculate implied convexity from futures vs swaps?
From STIR Futures - Trading Euribor and Eurodollar futures
by Stephen Aikin, convexity is determined by comparing the zero rate on a swap with an equivalent set of futures. For example, using futures,...
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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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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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VIX future's lower and upper bounds
A Tale of Two Indices, by Carr and Wu (Jrl. of Derivatives, Spring 2006)
As per the above paper of Carr and Wu (page 24 and 25), the price of a VIX future has for lower bound the fair strike of a ...
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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 $\sigma_2$ ...
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Futures Backtest
Trying to get my head around a simple futures backtest, namely trend. What I am struggling with is after back-adjusting (Panama canal) 10 year bond futures, I'm left with negative prices in the series....
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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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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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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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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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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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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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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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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 ...