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10 votes
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Impact on DV01 of cbot bond futures by changing coupon from 6% to 4%

It's complicated. Assuming there is no CTD switches, then yes, the theoretical modified duration should be unchanged and the DV01 will be lower. For simplicity, imagine that there is only one bond ...
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9 votes

What is the industry standard pricing model for CME-traded Eurodollar future (American) options?

Having traded these options for a number of years I have some insight. It’s my belief that those that make a living specifically out of these options do have tree-style models that take into account ...
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6 votes
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Face Value of SOFR futures

The 3M futures are worth \$2500 per index point and the 1M futures are worth \$4167 per index point. The index is $$P = 100 - R$$ where R is the compounded SOFR (annualized) over the reference ...
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5 votes
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Futures Market Open

Markets have changed since Toby Crabel invented ORB (in, I believe the late 1980's). In those days the S&P futures opened at 9:30am NY time. Nowadays the futures trade almost 24 hours a day. When ...
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  • 9,462
3 votes
Accepted

How to calculate point value for live cattle futures contract?

One contract is for 40000 pounds of weight, the price is in US cents per pound so when price increases by "one" say from 100 to 101 (i.e. one cent of a USD increase in price per pound) you ...
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  • 9,462
3 votes

How difficult/easy it is to migrate from CME FAST to CME MDP3.0?

Migration will be hard. You can check MDP3 Overview - FIX/FAST to MDP 3.0 for more details.
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3 votes

Are CME security id's unique and constant over time?

Speaking to CME, apparently they are neither unique nor constant. The obvious case when a security would change id is if it is a user defined strategy, which got created a second time - identical ...
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  • 181
2 votes
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Real-time market data from the exchanges: what should we be aware of?

Do you have any suggestions or know of any guides, tutorials, or advice pages on what is involved if you want to receive real-time data feeds? You won't find a how to for consuming data feeds direct ...
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  • 1,349
2 votes
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Should I use QuickFix or a 3rd-party commercial API to connect to the CME

A pre-certified FIX engine won't spare you from doing the certification process yourself. This is a requirement for all serious exchanges. Moreover, CME is a good exchange with tons of features and ...
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  • 517
1 vote

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

Those are ranges of EXPIRATION DATES fot the futures concerned. If you have a futures contract now, this table shows that you have to put up more margin for a contract expiring in June 2022 then you ...
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  • 9,462
1 vote

How are open and close price of mini snp futures determined

By Close do you mean the Last Price? I think what you mean is technically known as the Daily Settlement price at the CME, it is described here https://www.cmegroup.com/content/dam/cmegroup/market-...
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  • 9,077
1 vote

Are bitcoin futures daily settled at T+1 or is there another mechanism?

Futures settle at their expiry, not daily. Futures mark-to-market daily and their mtm impacts your margin account. Hope this helps.
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  • 2,117
1 vote

What is the industry standard pricing model for CME-traded Eurodollar future (American) options?

To add to @DM63's answer, as a secondary characterisitc, vol may also matter in deciding the european approximation impact. As vol goes to 0, you want to exercise as soon as possible, because the ...
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  • 1,662
1 vote

How to convert bond options strikes to future prices

Look at the CMEgroup web site. 1300 means 130.0, 1305 would mean 130.5, etc. The decimal point is implicit. The minimum increment in the strike is 0.5.
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  • 9,462
1 vote
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Symbols for options on gold futures

http://www.cmegroup.com/tools-information/lookups/advisories/clearing/Chadv14-394.html?source=rss looks like they are short term gold options that were delisted...
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  • 1,136
1 vote

CME historical option data provider

CSI: Expensive, but the data is not bad (quality wise) SIX Financial (former Telekurs): Middle tier price-wise, OK data CRB: Terrible customer service, but reasonable pricing CQG (don't know about ...
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