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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Do stationary prices need to be differenced for VaR?
I have a time series of electricity futures prices that I have shown to be stationary via the Augmented Dickey Fuller test (alpha = 0.05). Does that mean that, in calculating their individual values-...
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How do farmers use futures when they are not physically settled
I was wondering how farmers use futures when they have a production ability but cannot sell what they produced ? Is the exchange not used for physically delivering products, then how does the farmer ...
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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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Can you predict MTM gain or losses on future contract?
I am working on a structured product where I am investing some percentage of invested amount in futures contract. I have created a bull put strategy and I will calculate the delta positions of that ...
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Interest rate hedging using treasury futures – timing and duration
I'm pondering over the following (rather standard) problem:
We have \$10 million invested in government bonds and are concerned with highly volatile interest rate over the next six months. We want to ...
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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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Oil price model calibration with Kalman Filter and MLE in python
I am trying to calibrate a one-factor mean-reverting process in python 3. The process is defined as:
\begin{equation}
dX = k(\alpha - X)dt + \sigma dW
,
\end{equation}
where $\alpha = \mu - \frac{\...
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Should I sell my stock and buy future instead if the future price is smaller than the current stock price?
I am currently holding a stock.
I can see that the stock is trading at slightly above the future price.
I don't expect it to pay any dividend for a while.
Are there reasons that I should not sell my ...
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How could the WTI future price be as low as -40 on Apr 20? [duplicate]
Were there any known high-frequency firms suffer from it?
As the brent price stays normal, I believe that many algorithms would have recognize that price different as an arbitrage opportunity.
For a ...
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Contango and backwardation in VIX futures
I understand the meanings of contango and backwardation, but I'm trying to better understand the theory behind what creates each. For future readers of this question, here are the examples from the ...
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Is the future cost of carry a upper bound for the future price?
The Future cost of carry model models the future price of a commodity.
$F = Se^{((r + s - c)t)}$
Where
$F$ = the future price of the commodity
$S$ = the spot price of the commodity
$r$ = the risk-free ...
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Eurodollar future vs Eurodollar forward contracts
You are considering two contracts: a Eurodollar futures contract with six months to maturity, selling at 5%, settled on three-month LIBOR, marked to market every day; and a Eurodollar forward contract ...
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DI futures questions on formulas in spec
We are now building DI futures in our system for a customer who is planning to trade Brazilian DI futures in the nearest future
I have a couple of question on the specification and the calculations
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Reliable weekend forex source that can act as credible data for Monday APAC morning forex trade
In general most of the forex market closes by 10:00 pm london time on Friday and opens back on Monday morning APAC time , somewhere around Sunday evening London time. I am interested in knowing if ...
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Market making future and underlying spot
I am learning about market making and have been reading papers by Avellaneda-Stoikov, Bayraktar-Ludvkosli and L-Guéant-Fernandez. All of them attempt to maximize utility function but are based on a ...
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How are SOFR futures contract quotes determined?
I am currently conducting a research on SOFR and have a small question.
Suppose I am in June right now and on the CME website I see SOFR Futures quote for the month of September to be 98.6786.
I wish ...
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What's the industry standard/typical way to model contango or futures spreads?
If you want to include futures spread either as a response or predictor, I would imagine you also need to include time to expiration somewhere in your model.
What is the industry standard way to ...
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How does clearing and settlement work in Europe?
I understand the basic trade lifecycle but I can't find more information on how clearing and settlement works. To my knowledge, if I buy VOD LN executed on LSE - this will be cleared by LCH which is ...
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How to do simultaneous dual curve bootstrapping?
I wish to understand how dual curve bootstrapping is done?
Lets say we want to bootstrap FF OIS curve and Libor 3 month fwd curve simultaneously. Lets also assume we don't LIBOR-OIS basis swap rates ...
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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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Is the forward price equal to the future price?
If $f^{T_1}(t)$ is the price of a forward and $F^{T_1}(t)$ is the price of a future on some stock, both maturing at date $T_1$ and with the assumptions:
no dividend
constant interest rates
no ...
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Which Nikkei225 futures contract to take?
I have a working (swing) trading strategy based on equity index futures in place. I enter and exit by giving market orders. The strategy generates roughly 40 trades per instrument per year.
I want to ...
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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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Futures Carry for Index Spread Trade
This question is about a leveraged trade involving index futures.
Let's use an example of buying two contracts YM futures and selling three contracts RTY futures. CME will give the trade a margin ...
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Backtesting with Level 2 depth of book
I'm new to automated trading. I'm in the process of coding the methodology I've been using manually for a few weeks into a quantitative algorithm using IBKR and Python.
I read everywhere I should ...
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Calculating the theoretically fair value of this futures contract by assuming monthly compounding
I need a help for the following question:
A stock index is constructed by including only two stocks in the index. One of the stocks (Stock $1$)
currently sells for $250$ dollar and the other stock (...
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Should he choose long position or short position? [closed]
On July 2, 1997, a a company is worry about the value of its Yen income over the next few weeks and makes a decision to hedge its risk by taking a position in the futures market. Right now, a futures ...
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calculation of theoretical value of futures contract [closed]
we form a stock index by using only two stocks in the index.
One of the stocks is the Stock-A. The current selling price of the stock-A is 103 dollars and the second stock is the stock-B. The current ...
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How to make a trading universe of liquid futures contracts
I am forming a universe of liquid futures/liquid FX forwards. I want a list of all liquid contracts, the key word being liquid. This is for an academic project, but you could imagine liquid being ...
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How to detect price anomalies in HFT?
Let's say I'm developing an HFT application and seeking arbitrage in futures markets between MAY contract(M) and JUNE contract(J).
In this strategy, my spread is ...
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Eurodollar Futures Contracts Technical details
My textbook provides the following definition:
A Eurodollar futures contract is traded on the Chicago Mercantile Exchange and:
• Is a commitment to deliver a $1mm Eurodollar time deposit with a 3-...
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Finding ISIN of current/past futures
Where can I find the ISIN of futures on say SP500 eg ESM20? Is there a way to retrieve ISINs for past futures contracts?
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Historical energy market data for European power Futures and Options?
I have been trying hard to find some historical futures and options electricity data for EEX offerings. I need the data for a model I am writing, however I have not found any free resources so far. It ...
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Balance sheet items which might show exposure to hedging or the prevalence of forward contracts
I do have a panel data set on North American companies from Compustat covering balance sheet and income information. I am wondering if there is a possibility to use a balance sheet variable as an ...
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Is there any website for a detail chronological description of U.S. index futures market development?
Is there any website for a detail chronological description of U.S. index futures market development? I have searched online for some time but unable to locate particular focus on index futures market ...
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Negative price of oil
Yesterday and today, some kinds of oil have been traded for negative prices.
Does it mean that I can take oil from seller and at the same time I get money? Or is the negative price connected only ...
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IG - WTI Spot Price vs Future
I am a beginner and have a basic question.
I was looking at OIL - US Crude in IG today (20th of April), they have a spot and a future contract.
Today was the last trading day for May future ...
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Crude Oil futures contract delivery
Today was a historical moment with prices for Crude Oil futures contract failing below 0.
My question is, if you are a contract holder - can you just refuse the delivery, given that the contracts are ...
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two separate minimum tick sizes for micro emini futures?
I see that the minimum tick for the micro emini futures contract (MES) is .25 (according to the page on CME's website here). I see a lot of changes in the price that are equal to half of that, though. ...
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How brokers' spread costs work?
I am trying to understand how to size and compare brokers' costs. As per my understanding, they charge customers on either or both spreads and commissions. The latters are straightforward: for each ...
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Oil futures price convergence
Looking at oil prices now(https://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude.html)
May Futures - $20
June Futures - $26
Spot - $20
With price convergence theory, may futures ...
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What happens to farmers' futures contracts if a natural disaster destroys their crops?
Suppose I am a farmer who entered into a futures contract to deliver crops in 6 months. Suppose that a natural disaster destroyed all my crops just before the delivery date. As a result, it will be ...
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Why are options on commodity futures traded instead of options on spot commodities?
When people mention "commodity options", they almost invariably mean "options on commodity futures contracts". Why do commodity options have futures as underlying, and not the commodities themselves ...
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Hedge performance in times of volatility: Beta changes impacting PnL during market rebound
I hedge a portfolio of Global Equities (200 stocks within MSCI World universe) by shorting futures on MSCI World Net Total Return. The hedge is calculated using Beta. Beta is calculated using a risk ...
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Create a Synthetic Single Stock Future
Is it possible to create a synthetic long single stock future using the stock and it's vanilla options with the caveat that selling naked puts is NOT allowed? That is, you can write puts, but they ...
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Rolling Hedge Performance
So I have Time Series data for Gas Spot and Futures Prices (first 6 front quarters and first 3 front years) from 2009-2019 and I want to evaluate the performance of a 3- year static hedge vs. 3- year ...
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Is there a reason why futures and options have more substitutes than other financial instruments?
This is somewhat non-technical question, but it seems like this forum is still the best place for it.
I'm reading Shleifer's Inefficient Markets, where he points out that
[...] for futures and ...
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Does a future contract's price show where investors think the underlying asset's price would be?
When the price of an asset's future contract is at a certain level, does that mean investors as a whole expect the actual underlying asset to reach that price level in the future?
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Use futures contracts of different lengths to predict spot prices
So I am trying to see how future contracts prices with different time to maturity are able to predict the actual spot price of crude oil at the time of maturity for the contracts.
I have the simple ...
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Different performance between GLD, IAU and PHYS
At this very moment (about 10:15, 2020/3/24), GLD/IAU are up about 4.5% and PHYS about 3.5%
What causes such differences? Gold bars are in short supply around the world (https://www.ft.com/content/...
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