New answers tagged futures
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You cannot assume they are back adjusted unless explicitly stated and then you would need to know the algorithm used to adjust so you can take that into account in your back test.
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For the purpose of calculating the option vol of Eurodollars you need to convert the underlying to basis points of interest. Subtract the price from 100 to determine that level. Sep Euros settled at 99.53. 100-99.53 is .47 .47 is the underlying. Additionally, strikes are 100-strike. The 99.50 strike is really the .5 strike.
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Not sure what you mean by pricing this trade since the price of a future is given by the exchange. You can get bond futures data for free from CME (TU is the symbol for the 2y and WN for the 30y). I’ll assume you’re asking about weighting the legs. There are many ways to do it but here are some common ones:
Equal weights: +1 on TU and -1 on WN. This is the ...
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