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.
9,797 documents
The document explains why a trader who wants downside protection with the ability to benefit from rising prices may choose an option on a futures contract instead of entering a futures position later. A futures contract fixes exposure to a market price and…
The document considers whether changes in a bond’s yield to maturity should be regressed on changes in a bond index’s yield to estimate a beta. It argues that stock-style beta is not the usual framework for bond risk: interest-rate sensitivity is more…
An invoice spread pairs a bond future with an interest rate swap whose dates generally align with the future’s expiry and the cheapest-to-deliver bond’s maturity. Traders use the structure in part because bond futures are liquid and straightforward to trade,…
The document discusses how to evaluate a historical ratio between corn and soybean futures and how to express a trade in the relationship. One answer frames this as pairs trading or statistical arbitrage, recommending a cointegration check, such as an…
The document asks when a futures trader can use profits from a position opened and closed during the same day. Its example compares a long entered at 100 with a later close at 101, following a prior settlement at 99. The accepted explanation says the…
The document asks why CME derives forward-looking Term SOFR rates from SOFR futures rather than the SOFR overnight index swap curve. It contrasts the transparency and liquidity of those markets and notes that one-month SOFR futures settle against an…
The document explains why futures and other derivatives do not have a single standard return calculation. Unlike owning an asset such as a share or an ounce of gold, a derivative position requires cash allocation to cover potential losses, while the chosen…
The document outlines the structure of Eris SOFR swap futures and asks how their price relates to the fixed rate on a forward starting swap. It defines listing, effective, and coupon dates, then expresses the futures settlement price as a base value plus…
The document explains how futures open interest relates to trading volume. Open interest counts outstanding contracts, with each long matched by a short. Trading volume counts contracts traded during a period, so a trade does not necessarily create or remove…
The document surveys instruments used to construct money-market curves under multi-curve methods, with emphasis on USD and questions about EUR, GBP, and JPY. It explains that instruments tied to different floating-rate indices inform different forward curves…
The document asks how to describe a position in a futures calendar spread, using front- and back-month prices to illustrate the roll. The answer gives a directional rule based on the curve: sell the roll spread when the front contract is below the back…
The document asks how a market maker can delta-hedge VIX index options when the index itself is not directly tradable like shares. One answer identifies VIX futures as the direct hedge, reasoning that the relationship is not based on a carry arbitrage. This…
The document asks whether futures backtests should use log price returns or changes in contract point value. Log returns are additive over time and are commonly useful for securities whose price represents the investment value, but a futures contract’s price…
The note compares approaches to building continuous futures histories for simulations, including additive back or forward adjustments, ratio adjustments, and selecting contracts by volume. Each method affects historical price levels and can create issues…
The document describes an attempted replication of a published method for functional principal component analysis (FPCA) of financial time series. The author uses crude oil futures contract data, represents log prices with a curve built from exponential…
The document frames a problem in which a trader chooses among candidate forward trades with known expected profits and maturity dates while operating under a finite capital limit. Since positions tie up capital until maturity, taking a profitable trade now…
The document poses a fixed-income spread-trade question: whether a long Treasury bill position hedged with short fed funds futures earns mark-to-market profit equal to the bond’s DV01 times a five-basis-point tightening in the quoted spread. The trade is…
The document compares two spread definitions used to trigger Z-score entries in automated pairs strategies: residuals from an ordinary least squares regression of log returns, and the log ratio of the two contract prices. The author reports that the…
The document explains how a downward repricing in SOFR futures can relate to short-term dollar swaps and Treasury securities. The response says SOFR futures and swaps carry nearly the same rate exposure, with convexity adjustment creating a small first-order…
The document distinguishes futures-style options on futures from traditional options on futures to explain when discounting applies. In the futures-style contract, gains and losses are settled through variation margin, so the option itself behaves like a…
The document asks how to identify futures expiration dates programmatically and determine the current front-month contract. It explains why selecting the contract for the calendar month alone can fail: some futures do not trade every month, and a…
The document poses a one-period binomial pricing question for a European call on a futures contract. It asks how to construct a replicating portfolio when the futures price can move up or down, and the underlying asset is itself a futures contract rather…
The document explains a simple way to infer the number of expected Federal Reserve rate increases from a deferred Eurodollar futures contract. The example compares the implied three-month LIBOR rate from the December 2019 contract with the current…
The document asks where historical tulip mania prices can be obtained in a form suitable for statistical analysis. It describes the scarcity and uneven provenance of the surviving records: one compilation draws on sales across multiple varieties and market…