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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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 ...
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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 ...
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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 ...
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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 ...
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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 -...
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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 ...
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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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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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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, ...
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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 ...
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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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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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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 ...
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Commodity Futures Cascading in Python
I am new to Quantitative Finance so please bear with me. I have the following data set:
...
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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 ...
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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 ...
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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 ...
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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&...
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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 ...
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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 ...
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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 ...
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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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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 ...
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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, ...
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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 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 ...
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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?
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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?
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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 ...
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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?
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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 (...
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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 ...
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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?
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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 ...
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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!
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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 ...
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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 ...
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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 ...
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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 (...
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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 ...
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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 ...
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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 ...
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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 ...
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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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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 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 ...
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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 ...
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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?
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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 ...
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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. ...
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