# 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.

612 questions
Filter by
Sorted by
Tagged with
1 vote
0 answers
91 views

### MonteCarlo Value At Risk for futures portfolio

I wanted to ask, suppose I have a portfolio of futures of gasoline and other oil products eg ULSD (Ultra Low Sulphur Diesel), WTI (West Texas Intermediate) for different months. I want to compute the ...
2 votes
1 answer
117 views

### pros and cons of hedging oil contracts with options or futures

I work for an oil trading company. We sell petroleum products indexed on the Brent and hedge our fixed price sales using futures to offset price fluctuations. We do not engage in speculation. I was ...
0 votes
1 answer
96 views

### Why aren't the prices discounted when futures are marked-to-market? [closed]

I am a complete novice with a background in physics, currently self-studying derivatives. My primary reading resources are John Hull's book and "Introduction to the Economics and Mathematics of ...
1 vote
0 answers
70 views

### Market value of futures [closed]

What is the market value of an (index) futures? I guess the market value is either: quantity * contract size * price zero, if the daily unrealized PnL is ...
• 151
0 votes
1 answer
98 views

### If the interest rate is constant, then the forward price and the futures price are equal? [closed]

I was going through the proof about the equality of forward and futures price (assuming constant interest rate) in a book. Somewhere, the authors used the fact that suppose we start with two capitals -...
• 11
0 votes
1 answer
96 views

### Convexity adjustment for futures/FRA under T+D measure

In an internal document in my company, the convexity adjustment for Futures is defined as: where and P(0,T+D) is the ZC bond maturity at T+D. I don't understand why is not equal to 1 as I thought ...
4 votes
3 answers
241 views

### 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 ...
1 vote
3 answers
471 views

### 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 ...
3 votes
1 answer
259 views

### Convergence of crypto perpetual futures

Perpetual contracts are supposed to track the spot prices through the funding mechanism. Typically, if the future has traded above the spot in the last averaging period used to compute the funding, ...
• 31
0 votes
0 answers
111 views

### Crypto perpetual futures (swaps) pricing away from instantaneous moment of funding

Most perpetual futures offered by crypto exchanges employ a funding payment mechanism, that acts to periodically return the price of the perpetual to the underlying index price. The mechanism is ...
1 vote
2 answers
634 views

### 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 ...
• 113
2 votes
0 answers
144 views

### 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 ...
• 21
2 votes
1 answer
172 views

### Optimal Hedging Ratio using Copula Models

Let $r_{s, t}$ and $r_{f, t}$ be the return rates of the spot and futures of a commodity at time $t$. The hedging ratio based on variance minimization is calculated by finding the minimum of the ...
• 295
0 votes
1 answer
161 views

### Commodity Futures Cascading in Python

I am new to Quantitative Finance so please bear with me. I have the following data set: ...
• 101
1 vote
0 answers
106 views

### Deviation between spot price and implied spot price of S&P500 mini-futures

From Derivatives Markets (McDonald) it is stated that we may price a financial forward and, equivalently, get an implied spot price from a given futures price:  F_{0, T}=S_0e^{(r-\delta)T} \implies ...
• 11
3 votes
1 answer
200 views

### How to correctly explain the current price action in a trading chart with the Hurst Exponent found?

I watched this video tutorial to learn how to estimate the Hurst Exponent using an Excel spreadsheet and a time series sample of 1025 data. I decided to use futures 1H markPriceKlines data from ...
0 votes
0 answers
34 views

### Retail vs institutional percentage estimation in equity futures market (CME)

I am trying to find the most/least "popular with retail futures traders" instrument based on public data. I managed to estimate retail/institutional proportions by aggregating OI data from ...
0 votes
1 answer
58 views

### What do "Start Period" and "End Period" mean for maintenance margins of futures at the CME Group?

For any futures contract at the CME, under "Margins" tab, we can see a table like the one below. My question is: what are the two columns named "Start Period" and "End Period&...
1 vote
1 answer
265 views

### Future price of an index always less than expected index future value?

In the following practice problem: Is the futures price of a stock index greater than or less than the expected future value of the index? Explain your answer. The answer given is as follows: The ...
• 123
-1 votes
1 answer
95 views

### What do "heating degree day" prices actually measure?

The futures for Dallas Heating Degree days for July 2022 are trading around 6.83 But Dallas is hot in July and does not typically get any heating degree days So, what does the 6.83 for July 2022 ...
• 99
1 vote
1 answer
199 views

### What is the definition of contract notional value for a futures contract (use futures price or spot price)?

I'm a bit confused about the definition of contract notional value for a futures contract. It is not defined in John Hull's Options, Futures, and Other Derivatives. I find two definitions online. Both ...
2 votes
0 answers
46 views

### 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 ...
• 21
0 votes
1 answer
206 views

### What is the consensus interpretation of index future dealer gamma?

I'm trying to confirm that I'm understanding this concept correctly: dealer gamma exposure. I can make sense of dealers / gamma in isolation: Dealers: make markets for certain securities, notching ...
0 votes
0 answers
92 views

### Treasury futures and the TUT spread historical volatility

I'm doing a study at Rutgers on the TUT spread. The TUT spread is composed of 2 2-year treasuries and 1 10-year treasury per spread. I was trying to estimate the historical volatility of the spread, ...
1 vote
2 answers
663 views

### 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 ...
• 766
0 votes
2 answers
79 views

### What is the relation between spot price and future price if the goods are not produced yet?

I read on the Internet that future price = spot price + carrying cost. What if I buy a future before the goods/assets are even being manufactured. Will I get a discount on the spot price since I ...
• 101
1 vote
1 answer
202 views

### Why do VIX spot and futures converge if there is no cash and carry arbitrage?

Since VIX spot is not tradable, why do the futures and spot converge @ expiration? By what mechanism does this occur if arbitrage is not one of them?
0 votes
1 answer
96 views

### What advantage does cash-settled futures have over spot? [closed]

For example with bitcoin there is both the spot market and a cash-settled quarterly futures market. As a buyer when would I want to buy quarterly futures instead of just buying on the spot market? ...
0 votes
1 answer
84 views

### S&P e mini price difference between close and opening

Why on some days is there a price gap on the S&P futures market. Meaning why is there a major difference in the closing price and opening price. Example on 2/18/2022 market closed at 4343.5 and ...
• 1
0 votes
0 answers
61 views

### How to calculate the term structure of an index that doesn’t have futures

I would like to calculate the term structure of the VVIX index. Only way I have found so far is forecasting historical prices N months out. Any other idea?
• 223
0 votes
1 answer
53 views

### Incorrect ES future open data from CME?

I was trying to validate some intraday ES future data. However, it looks like even the CME official is incorrect. Let's take 2022-01-19 as an example CME shows the open price for MAR 22 is 4577.75 (...
0 votes
1 answer
46 views

### Are the buy/sell demand, the underlying spot price and the time value, the only factors in futures contract price?

Are the buy/sell demand on the future contract, the underlying spot price and the time value (days to expiration and the accelerating decay in backwardation or rising in contango, coefficent ) are the ...
• 101
0 votes
1 answer
60 views

### How do you convert a five year treasury future to an readable price?

I closed out on a five year treasury note (FVH22) at a price of 119'14.7 (trade station brokerage). Does that convert to 119+14.7/32?
• 103
0 votes
0 answers
58 views

### Is Clark's Futures calculation incorrect?

I was working through Clark's Commodity option pricing: A practitioner's guide published 2014, and when I get to the Futures case study section 2.3.3, the answers I get differs from his (I tried to ...
0 votes
0 answers
33 views

### Corporate Tax Futures

Does anyone have any additional information regarding the new Corporate Tax Futures added to MGEX this year? There isn't many resources out there, any insights would be greatly appreciated!
• 1
1 vote
0 answers
58 views

### How is a return-adjusted nearby created?

I am reading Value-at-Risk Second Edition – by Glyn A. Holton https://www.value-at-risk.net/futures-nearbys-and-distortions/ From 6.6.1 "The standard means of obtaining continual time series from ...
• 11
0 votes
0 answers
41 views

### What does M mean in DI Deposit futures contract?

I am trying to understand the forumla for DI1 Brazilian deposit future contract. I am able to figure out everything except M in the following formula: Xt=N×M×(Pt−Pt−1Ft) Lets say if we want to ...
0 votes
0 answers
31 views

### adjusting treasury futures exposure using micros

I want to decrease my exposure to a 10-year note futures by using 10-year micro futures after volatility-adjusting them. I've calculated that the difference in volatility in the micro has 5.125x the ...
2 votes
1 answer
193 views

### Samuelson Effect with Prices or Returns?

I have a crude oil term structure dataset with 12 contracts (CL1-CL12). This makes the term structure approx. 1 year long. The Samuelson effect states that contracts with a longer time to maturity (...
• 21
0 votes
0 answers
75 views

### Fx futures pairs

I want to setup a pairs trade with the Japanese yen as the quote currency and Mexican peso as the basis currency. (long MXP vs JPY) 2 /M6J contracts, notional is 1,250,000 JPY = 10966.5*2 = 21933 USD ...
0 votes
1 answer
236 views

### 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 ...
1 vote
1 answer
158 views

### Do futures trading and commodity trading distort the spot price in a negative way?

Futures and commodity trading are one of the main way (if not the main way) how spot prices get determined. But the sheer scale of futures and commodities market and their notional value is mind ...
• 11
0 votes
0 answers
73 views

### Difference between eurodollar and 2 year note futures

What's the difference between these instruments? I know that the Eurodollar is for dollars outside of the US, but is there any material difference other than contract size when it comes to trading ...
0 votes
1 answer
704 views

### 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 ...
0 votes
1 answer
386 views

### 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%...
-1 votes
1 answer
177 views

### How would I price out and set up a steepening yield curve strategy in which Im long 5yr UST and short 30yr UST futures [closed]

Curious if someone could help me out with pricing this trade idea, or just give me some general tips on a direction I need to head to go about this. I attached a photo if to see how I set up the idea ...
1 vote
0 answers
79 views

### Does change of futures price influence spot price to change as well?

There is no problem in understanding how the changes in spot price can cause the future price to change. For example, if we have a big changes in supply and demand (e.g. war breakout, unexpected heavy ...
• 530
0 votes
1 answer
79 views

### Currency hedging 3 month sterling libor futures

Each libor contract is 500,000 gbp. Can I hedge it by going short 8 gbp/usd futures per libor to hedge out currency risk considering each gbp/usd futures is 62,500 British pounds?
0 votes
2 answers
755 views

### 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 ...
• 1
0 votes
1 answer
87 views

### When are intra-day profits from futures settled?

I'm trying to understand exactly when cash changes hands in regards to a futures contract, ignoring exchange fees, say for the purpose of determining how much interest I could receive on the cash. ...
• 103