# Tag Info

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### Negative price of oil

The negative price that was all over the news was the front contract for WTI (West Texas Intermediate) futures that went to -40 and had a last trade date of 21.04.2020, so today. This movement was ...
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### Pricing Treasury futures

Treasury futures are actually really complicated... There are complete books dedicated to this topic (e.g., The Treasury Bond Basis) and really good sell-side research papers ("Understanding Treasury ...
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### When Fed stops QE, Treasury Futures will go down in price, so... LEAP Puts are a good idea?

Not saying this trade won't work, but there's certainly no guarantee that it will... Given that QE will stop in October is well teleported at this point and has been expected since last year, you'd ...
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### Theoretical limits for contango and backwardation

This is a basic fact about futures trading and the storage of commodities. The phrase that was used by futures traders in the old days (and probably still today) was "the contango is limited by the ...
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### How is this probability (45%) of Fed raising rates 3 times in 2017 calculated from Fed Funds market?

Using the following data from 12/18/16: Jan 2017 Fed funds futures =9936, Jan 2018 Fed Funds futures =9877 implies that 99.36-98.77 = 59bp of hikes are built in for 2017. IF you assume the only two ...
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### Price of bond future, given a specific interest rate?

Treasury bond futures are surprisingly complicated - this is an attempt at a short explanation, it will obviously gloss over some details, but hopefully gives you a flavour of how they are priced. ...
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### Determine the carry of a treasury bond futures contract?

Based on the your comments, I believe the issue lies with what you consider to be "carry." The reality is that there's no consensus. So let's take mini steps. We'll start with what rates guys ...
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### What is the appropriate benchmark for a Long/Short VIX futures strategy?

If your strategy truly has no directional bias, then the benchmark should be cash (ie whatever you would earn using the capital in your trading account and taking no risk).
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### When would open interest equal trading volume?

Futures are in "zero net supply", or "for every long there is a short", which means that at any time there are investors who are long a certain number of contracts and other investors who are short an ...
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### Setting the record straight on contango and backwardation in futures markets

Both charts are right in their own way. The second chart shows the shape of the Curve of Futures Prices at a point in time (for ex: today at 10am). In Contango far away futures contracts are priced ...
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### Why is the VIX futures market usually in a state of contango?

Your questions about contango in VIX futures have close analogies in options too. The Black & Scholes model suggests that all time frames and all strikes should have the same implied ...

### Why is the VIX futures market usually in a state of contango?

Your question is an important one, but I am not aware of any particularly satisfying answer. There are several papers on this issue -- see Luo and Zhang 2009 and Zhang et al 2010, just for example. ...
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### Why is the VIX futures market usually in a state of contango?

VIX is a measure of volatility -- something that changes explicitly with uncertainty. The chances of uncertainty arising tomorrow, is lower than the chances of uncertainty increasing in the longer ...
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### Why not just be long VIX and wait for the next volatile period?

Put simply, VIX is a spot index (fair value to a variance swap on SPX of constant maturity) that you cannot own as a security. Market participants create futures for you to trade. Futures trade higher ...
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### Why are FRA/futures convexity adjustments necessary?

This has been posted a few times now, so I will invest the time on a full response. FRA / Futures convexity has nothing to do with profits/losses being immediately recognised on the future through ...
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### A proof that the final payoff on a futures contract is twice that on a forward contract

This part of your post In addition, on expiry day the holder (...) is wrong. [Short Story] Due to the daily variation margins calculated by the clearing house on each market close, you have ...
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### Cost of rolling futures contracts

Personally I hate the term "roll cost" and prefer "roll yield" or "effect of rolling". It is not really an out of pocket cost (it involves no outlay or receipt of cash). It has to do with contango ...
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Trading bond futures calendar spread is actually a very involved exercise, with many moving parts. But first things first, recall that bond futures price is approximately:  F = \text{spot price} - \...
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### ICE futures settlement prices change with zero volume and zero OI

These contracts follow standard ICE procedures for calculating settlement prices, which can be found in section 2.4.6 of this document. A high-level overview of the procedure is -- An 'anchor' expiry ...
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### Are Futures exactly Delta One?

I think there is confusion around the forward price and the value of a forward contract. A forward contract obligates an exchange of an asset at some future time $T$. By convention, this forward ...
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### How can index futures trade 24/7 when the index doesn't change?

Theoretically "information" about stock prices is still arriving (including information about developments outside the United States) and the futures market is doing its best in estimating what the ...
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