New answers tagged futures
1
Have you seen formulae for stocks where a dividend yield $q$ pops up? The same idea applies here and is more general a part of the notion of cost of carry. In general, $$F_t=S_te^{b(T-t)},$$ where $b$ is the cost of carry, i.e. $$b=\text{Cost from holding the asset} - \text{benefits from holding the asset}.$$
For a stock, you gain the dividend yield $q$ but ...
0
As Alex said, as long as you apply all formulae correctly, you will always get the same (correct) results. In praxis, you often find rates being used in a discrete setting whereas academics and model developers tend to prefer continuous time setting. The former is closer to the real life (where bond coupons, for instance, occur every 6 months). The latter is ...
1
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-regulation/rule-filings/2018/01/18-008_APPAF.pdf
In essence it is based on the combined VWAP of the big S&P and mini S&P in the last 30 seconds. There ...
2
The Treasury Bond Basis: An in-Depth Analysis for Hedgers, Speculators, and Arbitrageurs by Galen Burghardt and Terry Belton is a good book on Treasury Futures.
3
There are some slight inaccuracies in using term basis. You probably meant strategies which profit from carry/futures roll. There are a lot of variations of carry/roll strategies on different markets. I can point you to:
1/ FX carry - can be easily traded using futures
2/ Term structure/carry in commodities
3/ Term structure/carry in bond futures
4/ Term ...
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