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3

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 (exactly matching!) number of contracts. This number is called the Open Interest. It starts at zero when the exchange introduces a new contract (like Sep 2019 ...


1

Futures actually have a negative basis all the time without having to have negative interest rates. Dividends can have a rate that is higher than the interest rate and that makes the basis negative. Futures on the Dow Jones Real Estate Index are almost always negative. Here are the DJUSRE Sep and Dec futures. The "Spread" column shows you the negative ...


2

Your question is about futures, which trade on a Futures Exchange. The only future contract that I know that meets your requirement is the "Euro FX" contract that trades on the CME (Chicago Mercantile Exchange) under the ticker 6E. It is quoted in EURUSD, one contract calls for the delivery of EUR 125,000 and requires a margin deposit in USD. Certainly for ...


2

in a previous question you were looking at using the VWAP price of SPY as a possible technical indicator or input variable in your investment decision process. The difficulty that you are going to encounter is that SPY and the S&P 500 future (right now ESU9) are interchangeable. Here is a chart from Bloomberg showing SPY vs ESU9 from Bloomberg. Now ...


1

Special Relationship and the added dimension to VWAP. As we know the expiry’s final settlement price is the last 30 minutes-weighted average price of the spot market. Due to this, many investors/traders get confused with the prices and some option prices may look like an arbitrage or free money (options quoting below intrinsic value). This may not be ...


6

You could compare it, over the historical period of interest, to 1000 randomly generated VIX strategies which are: Flat on 60 Percent of days (randomly chosen days) Long VIX futures on 20% of days Short VIX futures on 20% of days (You would adjust these percentages to the characteristics of your strategy. I guessed these values from your comment). The ...


5

If you are developing this strategy to use personally, I would benchmark it against your next best option. If the strategy has been developed to attempt to manage other peoples money I would benchmark it against the HFRX RV: Volatility Index. This is an index of alternatives that a Vol investor would consider versus investing in your strategy. From HFRX ...


8

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).


0

You must be referring to the US contract where the CTD is the 2/15/2036. The lower repo rate in the back contract should increase the net carry and thus lower the forward price. As a result, the bond calendar widens because the back contract CTD forward price decreases relative to the front contract CTD price. The repo curve is downwards sloping because the ...


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