4 votes

How does one price the market value and estimate the fair value of a bond futures roll?

There are two equations that help me understand this: 1) Gross Basis = Spot CTD Price - Conversion Factor * Futures Price If the Gross basis is positive, this means that it is a positive carry. In ...
VanillaCall's user avatar
3 votes
Accepted

How does one price the market value and estimate the fair value of a bond futures roll?

The market price of the roll (aka calendar spread) is defined as $$ (\text{front contract price} - \text{back contract price}) \times 32, $$ where the ${}\times32$ part converts the price into "32nds,"...
Helin's user avatar
  • 11.6k
2 votes
Accepted

XIV Positive Roll Yield

I found the answer. The loss in value is due to the fact that the portfolio of 1st and 2nd month futures itself loses value before it is readjusted. So when the readjustment is made (at the end of ...
trade_the_basis's user avatar
2 votes

Extracting continuous futures prices on different dates with the ratio adjustment

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 ...
Quantoisseur's user avatar
2 votes

Continuous futures data roll adjustment

There are many different approaches you can use to back adjust the price series over multiple expiries. The most common and useful (IMO) is the one similar to the one you describe. Most adjusted ...
ThatDataGuy's user avatar
1 vote

Continuous futures data roll adjustment

User 42108 summed it best by saying at the time that TradingView did not offer any back adjustment option on their continuous charts. So in other words, they were just stringing together contracts and ...
Kevin's user avatar
  • 11
1 vote

time series for futures roll

The Var depends only on the daily changes in futures price. So you create a series of daily changes and you simply omit the day when the roll occurs.
dm63's user avatar
  • 16.9k
1 vote
Accepted

Libor futures rolling adjustment & curve building

Futures roll can potentially create some short-term imbalances that distort market pricing. Whether or not that should be accounted for in curve construction is philosophical. In my mind, there's no ...
Helin's user avatar
  • 11.6k

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