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 asks how to set leverage separately for a short-only crypto strategy that trades many coins, holds positions from hours to days, and uses signal-based exits without fixed stops or profit targets. Its central risk is that sharp upward price…
The document explains a timing distinction in put–call parity for options on futures. At option expiry, the underlying futures contract may still be open. The value of a futures position then reflects the difference between the current futures price for that…
The document describes a comparison of gold futures traded on two exchanges with different trading hours. One market is open for eight hours, while the other trades for sixteen hours; their sessions overlap and close together. The author observes that…
The document introduces the commodity cost-of-carry relationship, which links a futures price to spot price, financing, storage costs, convenience yield, and time to delivery. It asks whether the model implies an upper bound on futures prices and how to…
The exchange describes using options on Treasury bond futures to adjust the interest-rate exposure of a fixed-income portfolio. For a long bond portfolio, buying puts on Treasury futures or, where permitted, writing calls can provide negative duration…
The document compares two ways to construct a residual for a relative-value trade in a three-bond yield-curve fly. One approach regresses a fly measure on a belly yield and a wing-spread measure, aiming to remove level and curve exposures. The other…
The document explains that Bloomberg intraday bars and tick data can be accessed programmatically through its API, even when exporting data through the Excel interface is unsuccessful. It notes that the API supports several programming languages and…
The document explains why daily settlement does not erase the hedging purpose of a futures contract. A business can lock in a price for a future purchase or sale, while daily mark-to-market transfers gains and losses as prices change. For a buyer facing…
The note explains how a stock option pricing routine can be adapted to price an option on a futures contract. Its approach converts the observed futures price into a discounted pseudo spot price using the relationship between futures, interest rates, and any…
The document describes a European call whose exercise condition depends only on one commodity futures contract, while exercise also grants the holder a second futures contract. The payoff is the usual positive excess of the first asset over the strike, plus…
The document explains that a minimum variance hedge ratio can exceed one. It gives the relationship between the hedge ratio, spot-to-futures price correlation, and the ratio of their price-change standard deviations. Since correlation cannot exceed one, a…
The document describes the difficulty of hedging a spread between inverse futures contracts with different maturities. The author notes that the contract exposure is nonlinear and sensitive to both spot prices and interest rates. They compare several hedge…
The document considers how to express a view that a stock’s dividends in a future year will be lower than expected. With the assumption that the relevant forward matures after the ex-dividend date, lower dividends imply a higher expected stock price and…
The document explains why a QuantLib futures rate helper rejects a Monday date supplied for a Eurodollar contract when configured to use IMM dates. IMM dates are Wednesdays, and the dates given in the question are therefore not valid IMM dates. QuantLib…
The question describes a company planning to issue commercial paper in the future and asks how to hedge its financing exposure with a Eurodollar futures contract. The point of confusion is which maturities belong in the duration ratio: the time until the…
The document compares sources and instruments for obtaining recent historical S&P 500 trade data with millisecond timestamps. It names commercial vendors and the NYSE Daily TAQ product as potential sources, noting that comprehensive trades and associated…
The document explains how interest rates and dividends affect the carry associated with equity options, and how a long call combined with a short put replicates a forward. It emphasizes that carry belongs to the underlying financing and dividend economics:…
The document outlines econometric knowledge useful in quantitative trading, especially for research with financial time series. Its core list includes regression and inference, ARMA and GARCH models, unit-root and cointegration methods, VARs, Kalman filters,…
The document raises a question about soybean and soybean meal futures, which the author describes as highly correlated because they share an underlying agricultural market. A linear regression between the two series produces residuals that fail an Augmented…
The document poses an arbitrage-free condition for a finite-state, two-period market with a nonnegative interest rate, a specified initial stock price, and stock prices at each future state. It asks which interest rates rule out arbitrage and reports the…
The document examines an apparent July quote for Dallas heating degree day futures, a contract that seems inconsistent with the location’s usual summer weather. Its response questions whether the quoted instrument was actually trading and suggests the figure…
The document outlines pricing approaches for European options on the difference between two correlated futures prices under a lognormal framework. For a zero strike, it identifies the Margrabe formula, interpreting the pricing problem through one futures…
The discussion concerns R software for estimating multivariate volatility models, especially BEKK-GARCH, in work involving volatility analysis and optimal hedge ratios. One answer points to the ccgarch package as an option. Another notes that some package…
The document compares ways to join futures contracts into a continuous price history, focusing on use in return based calculations such as volatility estimation. Its accepted answer recommends ratio adjustment: on a roll date, scale earlier prices by the…