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
0
votes
0
answers
160
views
eurodollar future options basics
I am trying to understand how to calculate the P&L on a eurodollar futures options position. Suppose I am looking at say Dec-2023 99.125 strike put options with a bid-ask of 0.2250 - 0.415.
Since ...
0
votes
0
answers
48
views
Why MES2106 is having a lower price than MES2103?
MES refers to Micro E-mini S&P 500 Index Futures
As my understanding of futures goes, future price increases with contract end time because otherwise, one can buy the longer expiring contract and ...
- 341
0
votes
2
answers
196
views
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/...
1
vote
1
answer
472
views
Greeks for Asian options on futures
I'm trying to get the Greeks for the PDB Option Contract (Crude Outright - Dated Brent (Platts) Average Price Option): https://www.theice.com/products/26535747/Crude-Outright-Dated-Brent-Platts-...
- 179
0
votes
0
answers
95
views
Spread and outright futures ranked by liquidity
Is there a platform that ranks spread and outright futures by liquidity and/or by volatility?
- 21
-1
votes
1
answer
41
views
Potential risk from profiting forward Futures contract?
Assuming I am bought gold at \$100 from spot market, and I am shorting gold December-31 futures at \$120 which is cash settled, and I earn \$20 forward premium when settle; And when gold price drop, ...
1
vote
0
answers
50
views
How do I deal with nonexistant data in a time series with an irregular frequency?
I am trying to do some time series analysis on the margin resulting from three specific commodity futures contracts and ultimately forecast the margin. The margin is calculated as M = F1 + F2 - F3. I ...
1
vote
0
answers
48
views
Why are futures contracts on the secondary market described as having 1 price, instead of 1 price for contract buyers and a 2nd price for sellers?
I'm first going to describe how I believe the futures contract mechanics work, and please correct me where I'm wrong:
A contract seller (in a short position because usually they don't actually ...
0
votes
1
answer
97
views
Calculate resistance / support on 5 minutes timeframe
I'm starting to learn resistance / support.
I'm trying to calculate it, but i'm not sure to understand something.
Let say i have an array of 5 last trades done (i can have much more, it's just for the ...
- 101
-1
votes
1
answer
367
views
Delta of a forwards contract
in university's lecture notes, from what I understand using the replication of portfolio principle to price derivates, the forward price of a contract K should be: $K = P_0(1+r)$ where $P_0$ is the ...
1
vote
1
answer
87
views
ETF with international constituents
I was just wondering how the fair price of ETF with international holdings are accurately priced. Say we have an ETF that trades on domestic exchange but the holdings are international and the market ...
1
vote
1
answer
159
views
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 ...
- 330
0
votes
0
answers
66
views
Which exact interest rate should I use for valuing equity index futures (ie. SPX, MXEA)?
I'm trying to build a model that values futures for equity indicies like SPX. For example, this product link here. I know that the model is simple (please correct me if I'm wrong):
$$
S_{T} =S_{0}e^{(...
1
vote
1
answer
566
views
Can the carry of bond future be approximated by conventional yield and implied repo?
I have a question regarding bond futures, carry and convenience yield $y$. Suppose we look at the cheapest to deliver bond for a bond future. Suppose the CTD has a conventional yield of $-0.72$ and ...
- 147
0
votes
1
answer
203
views
No-arbitrage arguments: how do additional fees affect futures on an index?
I am considering a fund that replicates the returns of an index minus a fee, using the following case-study my lecturer used regarding SPY:
In practice, futures and forwards can be written on assets ...
- 609
0
votes
1
answer
110
views
Rolling to a non-front month future contract?
I hedge my US positions with M6B, a GBP/USD future.
Every time I roll my contracts, I ask myself "why is there so little liquidity beyond the next three months?" Surely there are people that ...
- 15
1
vote
4
answers
337
views
US Treasury - IEF vs ZN Cumulated Return Comparison
I have been trying to explore the possibility of replacing my IEF (10 years treasury ETF) positions with ZN (10 years treasury futures) for better leverage.
Reading the posts here, I understand that ...
- 15
0
votes
1
answer
99
views
How is the futures price set on days without trades?
In an illiquid (commodity) futures market, several days may pass between trades in a contract. If the traders' positions must be marked to market every day, a price must be quoted even on days without ...
- 2,726
3
votes
1
answer
171
views
Definition of notional for a future contract
I just got into CME Eurodollar futures and I discovered that the notional value for that contract is considered to be 1 million \$.
I thought wrongly that it was 250 000 \$. I saw some explanations (3 ...
1
vote
1
answer
264
views
ICE futures settlement prices change with zero volume and zero OI
I found that all of the electricity futures prices (on ICE) at a particular hub changed on December 2, even though a) most had zero open interest and zero volume, and b) the quoted prices are EOD ...
- 555
1
vote
0
answers
43
views
Which volatility should I use in a long-term futures swaption?
Consider an option expiring in 12/31/2023 on an hourly swap from 2024 through 2029 such that: a) I pay the floating price of electricity and b) receive $20 in return. Using shaped monthly futures and ...
- 555
1
vote
2
answers
1k
views
Theoretical fair value of SOFR 1M and 3M Future contracts?
The fair value of Eurodollar future contracts is calculated using the no arbitrage pricing and the spot curve for LIBOR. How does one compute the theoretical fair value of 1M and 3M SOFR Future ...
0
votes
1
answer
65
views
When backtesting Nikkei225 futures with market orders, how many points to account for eventual slippage and trading costs?
I want to backtest a strategy based on Nikkei 225 futures (preferable at the Singapore exchange).
I am using market orders for entry and exit.
Although I now that theoretically market orders for a ...
- 23
0
votes
2
answers
152
views
How USD indexed bonds work and what is their relation to USD futures?
I am reading about the Brazilian real devaluation crisis in 2013 around the QE3 taper announcement.
As far as I understand, capital flows went back from emerging economies like Brazil to developed ...
- 33
0
votes
1
answer
46
views
Mapping One symbol's Support/Resistance to another Symbol
I wish to map and display the Support/Resistance lines (i.e. SMA20_daily) of ES onto NQ graph as I think they are mutually effecting each other, how may I achieve this? Do I need to do some kind of ...
- 1
2
votes
1
answer
1k
views
Greeks for Futures [closed]
Is there some general result on the sensitivity of futures price to its maturity? For example, I have two futures on the same underlying, but maturing at different dates. Can I say which one is more ...
- 179
2
votes
1
answer
5k
views
What does the conversion factor for Treasury bond futures do in relation to the 6% coupon specification for the contract?
I understand that the specification for say, a 10-year Treasury note futures contract is for a face value of $100,000 with a 6% coupon. However, the eligible securities that may be delivered span ...
- 51
0
votes
1
answer
54
views
Accesssing buyers and sellers of futures contracts
I'm attempting to access all futures contracts traded for a given day. Reading the Quandl blog: https://blog.quandl.com/api-for-futures-data to access futures contract use the python code:
...
- 125
1
vote
1
answer
203
views
How are leveraged futures paid in the case of large order-book spread?
Alice buys 10 contracts from Bob at 100x leverage and a total cost of £100 - Bob's order was also at 100x leverage.
Bob is 10 contracts short and Alice is 10 contracts long.
Both have a margin ...
- 171
0
votes
1
answer
102
views
Futures and Forwards in Relation to No-Arbitrage Axiom
Is it possible to make an arbitrage profit by taking a long position in the futures contract and a short position in the forward contract when Forward Contract F(0,0) > Futures Contract G(0,0)? ...
- 101
0
votes
2
answers
178
views
How to get commodity futures settlement timepoints?
I need to find some easy approach to get the daily settlement times (not the exact milisecond, just the general rule hh:mm) for multiple commodity futures (agriculture, metals, energy) on multiple ...
- 103
0
votes
0
answers
56
views
CME Metals Settlement methodology
I'm reading the docs on CME Metal's settlement methodology and looking at the examples section: https://www.cmegroup.com/confluence/display/EPICSANDBOX/Metals+Futures+Settlement+Algorithm+Examples
For ...
- 452
0
votes
0
answers
581
views
Yahoo finance continuous futures historical data
How is Yahoo Finance's continuous futures historical data calculated? Are these front-month numbers?
- 21
0
votes
1
answer
55
views
Futures Historical Tick Size
I understand for some futures contracts, tick size does change from time to time. Does anyone know where to get historical tick size changes?
- 21
2
votes
1
answer
440
views
understanding carry for Fixed Income Securities in Pedersen
I'm following the famous paper Carry of Pedersen et al. I have a particular question about the section Global Fixed Income Carry.
My main questions are around equation 15. They define Carry as
$$C_t:=\...
- 147
0
votes
1
answer
116
views
CFTC COT reports
Beginner question. As I understand it (vaguely), the COT report contains information on activities (eg. long/short position held) for specific futures contracts. Take, for instance, COT for 13874A, ...
- 21
0
votes
1
answer
99
views
Futures Fair value and its price
Lately I have been doing some research on some equity index futures. What seems interesting to me is that the futures price will fluctuate around the fair value of the futures. With little research or ...
- 103
0
votes
2
answers
969
views
Why do E-mini S&P 500 futures have small bid-ask spreads?
I noticed that E-mini S&P 500 futures (ES) typically trade with a very narrow bid-ask spread of 1 tick. What contributes to this small bid-ask spread? I can think of two reasons:
Lots of active ...
- 521
0
votes
2
answers
81
views
Extract individual currencies
I have timeseries for a bunch of currencies. For example, USD_NOK, EUR_USD, EUR_NOK, EUR_SEK and so forth. About 75 of them going back about 20 years in Pandas.
My goal is to isolate each currency ...
- 141
1
vote
0
answers
86
views
Advice for senior thesis [closed]
I'd like to get my degree in mathematical finance, or eventually in quantitative finance. Could you give me some (original) ideas, maybe transversal between the two, on which to focus my thesis?
...
- 161
2
votes
0
answers
269
views
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
$$...
- 147
3
votes
2
answers
1k
views
Why there is no Bid Ask Spread in Futures Markets?
I heard that there is no bid-ask spread in futures markets. Could anyone explain why there would be no difference between the selling and buying price of a futures contract?
Thanks in advance!
- 33
3
votes
1
answer
293
views
Why are some metals in contango (inverted) forward curve and some in backwardation (normal) forward curve?
I am scrolling through the various metals on lme.com and some are in contango and some in backwardation. For example:
Copper: backwardation
Aluminium: contango
Further examination of other metals ...
- 452
2
votes
2
answers
156
views
Convention for computing returns on bond futures
From the CME website, we know that the contract unit for bond futures is "face value at maturity of $100,000".
Which of the following is more appropriate the convention to compute "...
- 187
1
vote
1
answer
169
views
What is the forward price of a futures contract?
We know how to calculate the theoretical forward price of a stock. But what is the theoretical forward price of a futures contract?
- 155
0
votes
1
answer
761
views
Managing/Hedging strangle with futures at strike prices
Since I am very new to options, I thought would be great to ask the opinions of the experts in this group. Please note that I will hold strangles till expiration.
The goal is to sell strangles (OTM ...
- 3
0
votes
0
answers
50
views
Computing cost for crypto futures trades
I'm trying to replicate the cost of cryptofutures trade without success. Here are the inputs and the cost i got:
Quantity: 1 BTC
Mark Price: 11732.72 USD
Leverage:20
Margin Percentage: 2.5%
THE COST: ...
- 852
2
votes
2
answers
259
views
Why Index Futures can be used as a Market benchmark?
I heard that we can use, say, Eurostoxx Futures as a benchmark to compute the beta of the index's components. Is this relevant? If so, how do we deal with the futures' expiry?
Thanks
- 89
-1
votes
1
answer
258
views
Rolling Futures - VXX [closed]
I was reading this paper (https://www.cmegroup.com/education/files/deconstructing-futures-returns-the-role-of-roll-yield.pdf ) about futures rollover, and cannot figure out the meaning of the sentence ...
- 89
-1
votes
1
answer
161
views
Options conversion/reversion arbitrage [closed]
I'm trading bitcoin option and i'm trying to find arbitrage opportunity with a synthetic short/long and a long/short future position.
The options are europeans style and settled in BTC. The contracts ...
