Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
1,236 documents
The discussion asks whether manipulation of SPX options or equity and volatility futures caused the February 2018 VIX spike, and what data could help investigate. The response points to volatility-linked exchange-traded products as a possible source of…
The document asks how a short-term VIX futures index’s daily roll weights translate into the holdings and cash flows of an exchange-traded product. It uses a dated example with two adjacent futures prices to question how a roll handles a price difference,…
Liquidity depends on the asset class and on how participants access each market. The document compares spot, futures, options, and swaps across currencies, single stocks, equity indices, commodities, and fixed income. It offers a practical framework: there…
The discussion explains how the cheapest-to-deliver bond can make a Treasury futures curve trade differ from the yield spread suggested by the contract names. A 10-year Treasury note future may be priced around a deliverable bond with a maturity closer to…
The discussion addresses whether negative interbank rates should be floored at zero when valuing FX forwards or futures. The answer argues that market participants can lend and borrow at negative rates, so valuations must reflect those rates: replacing them…
The post asks how to build a yield curve from three-month interest-rate futures, using Euribor as an example, and whether cubic-spline interpolation is available in Python. It points to a reference on multi-curve bootstrapping and a worked Python…
The document asks whether a forward price for a financial product can be expressed as its current price divided by the price of a zero-coupon bond maturing at the settlement date. The proposed argument uses a conditional expectation under the…
The answer identifies a gas-fired power plant’s spark spread—the relationship between electricity revenue and the gas cost required to generate it—as a central exposure. It describes over-the-counter spread options as a way for a plant operator to hedge this…
The problem describes a seller who observes a sequence of prices for different future delivery days and must choose when to commit to selling. Prices for each fixed delivery date are assumed to follow a martingale. The proposed approach begins with a Bellman…
The document asks how to interpret specialness in bond futures when holding a long-only cash bond portfolio. It contrasts a cash bond’s implied forward price, determined by its carry, with the futures-implied forward price. When the futures-implied carry is…
The example considers a position short August puts, long August calls at a higher strike, and short futures. Its initial net delta, gamma, and vega are reported as slightly negative or close to zero. The question asks why the answer key says all three become…
The document examines why the six-month point on a market-calibrated swap curve can differ from the published six-month LIBOR fixing. The explanation distinguishes the fixing from the market deposit rate used to calibrate the curve. A deposit instrument…
The document explains why commodity options commonly reference futures or forwards rather than spot prices. Futures can offer liquid, standardized contracts with established price discovery and settlement conventions, making them practical underlyings for…
The document disentangles the delta of a forward contract’s value from the sensitivity of a quoted forward or futures price. The value of an existing forward contract has spot delta of one when other inputs are held fixed. The forward delivery price, by…
The document examines negative carry claims for long positions in short-maturity Treasury note futures, including the two-year contract. It distinguishes cash bond carry from futures roll return: futures themselves do not have carry in the same sense as…
The document explains the net basis in a Treasury cash bond and futures trade, addressing why it may be negative even though it is associated with delivery options. A negative reading does not by itself establish an arbitrage opportunity: funding constraints…
This document asks how to size trades in back-adjusted continuous futures data when historical prices can be near zero or negative. It contrasts two attempted approaches: scaling position size inversely with price subject to a unit cap, and allocating a…
This exchange asks why a German government bond future can have a quoted price far above the price of a cash government bond. The question considers yield-curve expectations, quotation conventions, and carry, and wonders whether coupon payments should make…
The document raises a measurement question for a volatility risk premium strategy using options on a futures contract. The underlying future expires annually, while options are available at quarterly expiries. The proposed measure is to compare the implied…
The document asks whether a short position in the three-month VXV index and a long position in a two-month VIX future can lock in a volatility spread. The proposed reasoning is that both positions might converge to VIX exposure at the future’s expiration,…
The discussion addresses how to construct a delta-hedged portfolio using S&P 500 index and futures data when a data source provides a continuous E-mini series without an explicit maturity. It suggests inferring a listed contract’s expiration from its ticker…
The document examines whether a Hurst exponent above 0.5 can justify shorting crypto futures after prices have fallen. The author estimates the exponent from 1,025 hourly mark-price observations for four Binance trading pairs and reports values around 0.62.…
The document gives examples of negative interest rates and explains how they can appear in forward markets. A negatively sloped yield curve can imply a negative forward rate; the responses mention an inverted US term structure and Treasury bills trading at…
The document raises a conceptual question about Treasury bond futures basis net of carry and delivery optionality. It asks whether the value of choosing a different deliverable bond—potentially favored by conversion factor differences—would be reflected in…