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.
1,414 documents
The document asks whether options on two separate assets, each quoted against a common currency, can create an option on their exchange ratio. Its answer says that a portfolio with payoff equal to the sum of a function of each asset separately cannot…
The note uses gold forward prices at two maturities to illustrate a carry-based arbitrage. If the later contract is priced above the earlier contract adjusted for financing and storage-related carry, a trader can buy the earlier exposure and sell the later…
The document asks whether a futures price can fall below spot if interest rates turn negative, starting from the cost-of-carry relation for an asset with no dividends. The response points out that a negative futures basis does not require negative interest…
The note explains how to replicate a zero-coupon structured note that returns its principal at maturity plus an oil-linked payment. The extra payment rises in proportion to oil prices above 25, but is capped at 2,550. The proposed replication combines a…
The document addresses why some commodity research annualizes monthly returns by multiplying by twelve instead of using a compounded-return calculation. The explanation is that the reported quantities may be logarithmic returns even when authors omit that…
The document raises whether power derivatives should be discounted and, if so, which curve should be used. It contrasts the usual use of overnight indexed swap rates, grounded in an assumed risk-free hedge, with commodity pricing that adjusts for dividends…
The document asks how to evaluate intraday strategies whose long-only trades may benefit from an asset’s longer-term upward drift. Its examples enter an S&P 500 or gold position at the market open and exit around midday. The concern is that apparent strategy…
The document considers how to compare hedging strategies for two models that price options on WTI crude oil futures. It questions whether a traditional delta hedge is meaningful when the underlying is a futures contract, since buying or selling futures does…
The document compares traditional asset-class risk premia with factor investing and alternative risk premia (ARPs). It frames factors as return sources within established markets, such as equity value, size, momentum, and quality, which may have different…
The document considers estimating a riskless interest rate from spot and forward or futures prices using the relationship between the forward price, spot price, rate, and time to maturity. Rearranging that relationship gives an implied rate from the…
The document explains why a commonly quoted All Weather allocation may not show equal risk contributions when measured with portfolio software. According to the accepted answer, the weights came from an interview describing an unleveraged sample portfolio…
The document describes a practical challenge in fitting an oil options volatility surface when market data are uneven across maturities. Near-dated contracts are liquid and screen-based, while longer-dated quotes are broker-based. At-the-money levels toward…
The document asks how quantitative strategies can compare derivatives with different expiries, prices, and volatility characteristics, using commodity futures as an example. It highlights a limitation of applying a single-price time-series method, such as a…
A baker who will need wheat later can hedge the uncertain purchase price by going long futures contracts that mature when the wheat is needed. The document explains the cash flows at maturity: the futures gain is the spot price at maturity minus the initial…
This discussion addresses the difficulty of finding dependable Chinese economic indicators for strategy research. The question lists areas of interest including credit, materials, durable goods, GDP composition, government spending, housing, and personal…
The discussion suggests testing a Merton jump-diffusion model on broad equity benchmarks and their exchange-traded funds, naming the Nasdaq, S&P 500, Russell 2000, and examples such as QQQ, SPY, and IWM. It notes that these liquid benchmarks can help compare…
The document explains why a futures quote usually does not predict where the underlying asset’s spot price will be at expiration. For storable commodities and financial products, arbitrage links futures and spot prices: financing, storage, insurance, and…
The document derives the risk-neutral drift for the one-factor Schwartz commodity model. Starting from a mean-reverting process for the logarithm of spot price, it applies a constant Brownian-motion measure change. The resulting drift retains the…
The document explains how a Monte Carlo simulation can align with Black 76 without first converting futures prices into spot prices. It starts from a lognormal spot-price process with drift and volatility, then substitutes the spot-forward relationship so…
The document describes a volatility pattern in monthly electricity futures that changes as the delivery month progresses. Because electricity is delivered throughout the month, the contract price converges toward the monthly average as delivery unfolds. The…
The document asks how to build a worldwide dashboard of companies linked to lithium and other commodities, extending beyond an Australian-market listing to regions such as the Americas, Europe, and Asia. It considers whether major financial data services…
The document raises a practical sizing and spread-construction question for a pairs trade involving one Brent contract and one Gasoil contract. Although the two contract prices are of a similar scale, their minimum price fluctuations have different monetary…
The document describes a way to express a fixed tanker transportation payment as a percentage of the oil cargo’s value. It relates vessel capacity in barrels to the futures contract’s stated unit size, then uses the quoted futures price to value the cargo.…
The document considers hedging a one-year exposure in an underlying asset with Brent crude futures. It raises whether to match futures maturity to the exposure or use shorter-dated contracts when their historical price changes show a stronger relationship,…