I think he does mention this caveat in the last paragraph of Example 6.3, saying that a hedger could slightly reduce the size of the hedge to account for this. As for your question in particular, I feel like the problem is that you are assuming the forward rate is the same as the futures rate, while they don't necessarily need to be the same, and you are ...
But what is the theoretical forward price of a futures contract?
The forward price of the futures contract is equal to the current price of the futures contract. Exactly what the fair current price of the future might be, is another matter.
(Edit 23.11.2020) [Note that my previous derivations were too hasty and had some issues, I will try to amend when time allows. In any case, note that those results were merely model-free: SOFR Futures have convexity adjustments and in practice you will need to specify a model for the forward rates to actually calculate them. Feel free to unmark as "...
Not sure if this will entirely answer your question, but the key concept here is that the Futures contracts are not priced via some theoretical model, but their price is entirely driven by supply and demand. In turn, the supply and demand reflect the market's expectation about future Libors (or SOFR, in case the underlying is SOFR).
Let's say that "...
What is a reasonable amount of points or amount of money to account for slippage and costs for exchange and broker?
Slippage will depend on many things - volatility and size are probably the most important. Your question is non-trivial and trying to get a realistic answer would be a lot of work. As a first pass, I might try a toy model that assumes, for e.g.,...
According to the CFTC COT Report, as below, you can see that the #097741 CFTC code refers to the 12,500,000 contracts of the JPY futures.
The same can be found here on the CME website, https://www.cmegroup.com/trading/fx/g10/japanese-yen_contract_specifications.html
So to answer your question, this relates to 6J
I think you can find this information using the Time & Sales information. The bid or ask price will help to ascertain whether the instrument was bought or sold.
CBOE has a bunch of API's that you could use for this.
I'm not sure if I understand the question, but I'll comment on one aspect of it.
Brazil issued dollar-denominated treasury bonds (NTN series D) between 1997 and 2000, which were pretty similar to other countries' local-law USD-denominated bonds. The notional was in USD and the coupon was fixed. Investors paid local currency to get USD notional using the spot ...
Maybe take the log ratio?
log( Price_ES / SMA_ES ) == log( Price_NQ / ES_equiv_SMA_NQ )
simplify and set
log( Price_ES / SMA_ES ) = X
where X is just a known constant, and then substitute and rearrange
ES_equiv_SMA_NQ = Price_NQ / e^X
This is a slightly deeper question that it appears at first. Depending on your treatment of rates (deterministic vs. stochastic), it can indeed be model-dependent.
Let's first think about a forward contract $F_T(t)$ locks you in to a transaction at price $F_T(t)$ on an underlying $S(t)$ at time $T$. The well-known price of this contract at time $t$ is