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1

MTM is really just bookkeeping. You hold some initial margin for your book with a broker and each day your account value is updated per end of day futures values as $F_t - F_{t-1}$ for each position. The contract price, $F_t$, isn't fixed, it fluctuates daily and is what MTM is based on. When margin requirements are breached (as a result of losses in ...


0

"if so how deal with the problem?" You could use fixed expiry contracts and build the rolls into your backtest (assuming you hold them over a roll).


2

When constructing continuous price series you can either adjust for accurate PnL or accurate returns. Ratio adjustment is used to construct an accurate return series. This means that if you're backtest is set up for PnL then it will be incorrect. Check out this post for more info: https://adamhgrimes.com/how-to-calculate-futures-rolls/


4

The Bloomberg ticker "CVXCTNCS Index" is the CFTC commitments of traders report for short positions of non-commercial traders, i.e. traders categorized by the CFTC as not having a commercial interest in trading VIX futures (e.g. to hedge an exposure created by a product that they are selling to clients). These traders are sometimes referred to as "...


2

Separating the quoting convention of an instrument from its economic value is quite common in finance, as it allows easy comparisons between instruments (even across asset classes). Some examples are Bonds quoted as yield Interest rate swaps quoted as par rate Credit default swaps quoted as par spread Options quoted as implied volatility FX forwards quoted ...


0

There are also quite a few futures markets that don't have a corresponding ETF. For example I don't see an ETF for Feeder Cattle,Slovenian Power, Shanghai Rebar, and many more.


5

Completely depends on the asset class. For currencies (including GBP/USD) the spot market is an order of magnitude more liquid than forwards, futures or options. However, some currencies with trading restrictions have a non-deliverable forward contract which can be much more liquid than the spot market for offshore investors (e.g. INR, KRW, TWD). ...


2

I am going to speculate here. Scale. Say for equities the futures market is bigger than the actual spot market (presumably because you can have cash-settled rather than physically settled contracts); would appreciate if anyone could dig up some numbers. This means more capital can be employed making the strategies more scalable. As far as leverage is ...


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