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 considers how a futures market can be in contango while also exhibiting normal backwardation. The key clarification is that the terms refer to different comparisons: contango describes the relationship between futures and spot prices observed…
The document addresses how daily mark-to-market settlement fits into the implied repo rate calculation for a cash-and-carry trade in Treasury futures. The key point in the accepted answer is that the hedge assumes a position of shorting a number of futures…
The document answers whether exchange-quoted SOFR futures prices remove the need for convexity adjustments when calculating interest rate futures sensitivity. Its answer is that adjustments may still matter for financing bias, even when using market prices.…
The document describes a calendar rule for estimating monthly VIX futures expirations: identify the expiration date of the corresponding S&P monthly options, then count back 30 days. In the usual case, those options expire on the month's third Friday, so the…
The document considers how to build a warning system for a stock index and its futures using data from both frequently and infrequently traded constituent stocks. For sparse trade data, it points to models that account for event timing as well as prices: the…
The document explains a surprising QuantLib date-advance result using the Japan business calendar. Advancing December 28, 2012 by one business day or by one week both returns January 4, 2013, while advancing by five business days returns January 10. The…
The document asks which volatility-surface parameterization is commonly used for options on Treasury futures. It compares this market with examples of models associated with other option markets: SVI for equities, Vanna–Volga for foreign exchange, and SABR…
This document explains a common input error when bootstrapping a yield curve with QuantLib futures helpers. The key point is that FuturesRateHelper expects the market futures price, quoted as 100 minus the implied rate, rather than a rate converted into…
The document examines why a ratio-adjusted continuous futures history can change when the extraction end date changes. Its example reports a different historical crude oil price in datasets pulled through different dates and shows that a simple long-only…
The document explains how a market maker can price a custom-dated interest-rate swap when exchange-traded inputs move during curve construction. A pricing server periodically calibrates and caches curves from a snapshot of streaming market data. Those curves…
The document explains why repeatedly rolling a short Eurodollar futures position is not equivalent to opening a short in a later-dated contract. It contrasts these contracts with gold futures: successive gold contracts can represent exposure to delivery of…
This note explains one interpretation of a futures contract’s matched-maturity asset swap spread. The proposed trade pairs the futures position with a forward-starting interest rate swap beginning on the contract’s first delivery date and ending when the…
The document considers how to represent execution costs when backtesting a Nikkei 225 futures strategy that uses market orders. It explains that slippage depends on conditions such as volatility and trade size, so a single fixed cost may not describe…
The document explains why a positive-rate equity futures price can exceed the current spot price without implying that the futures buyer loses money on average. Under the stated zero-dividend assumption, spot-futures parity links the futures price to spot…
This explanation derives the dollar value of a live cattle futures price movement from the contract size and the unit used to quote prices. One contract represents 40,000 pounds, and the quoted price is in cents per pound. A one-cent-per-pound change…
The document addresses what a positive CFTC total net contracts figure means for Brazilian real futures. Its key point is that each futures contract has both a buyer and a seller, so the market as a whole cannot be net long or net short by simply counting…
The note distinguishes price delta and gamma for options on bond futures from interest-rate delta and gamma. Price delta measures how an option’s value responds to a change in the futures price; the response explains that interest-rate delta generally refers…
The document explains how physical delivery and limited storage capacity can contribute to negative prices in a crude oil futures contract. It contrasts WTI futures, which are physically delivered at Cushing, with Brent futures, which are described here as…
The document outlines two broad ways to increase displayed market depth: encourage more trading interest in an asset, or change market rules and incentives so participants are more willing to post liquidity. Examples of rule changes include increasing the…
The document describes an empirical examination of one-minute logarithmic returns for E-mini futures over several years. The author calculates the standard deviation of returns at each time of day and reports that volatility is greatest during regular U.S.…
The document explains how to interpret currency pairs and why the written order matters. Under the standard pair convention, the first currency is the base and the quote gives units of the second currency needed to buy one unit of the first. Thus, EUR/USD at…
The document asks where to find forward swap rates, giving as an example a swap beginning in a year with a fixed leg and a floating leg tied to LIBOR. One response points to a Bloomberg market listing for a specific US dollar forward swap contract. Another…
The document shows how to estimate the roll yield implied by two CAC 40 futures contracts with different expiries. It compares the November and December contract prices, calculates their point difference, and expresses that difference as a percentage of the…
The document clarifies the meaning of gamma in an option hedging simulation. Gamma is the rate at which delta changes as the underlying price changes, but multiplying gamma by a price move gives only a local approximation to the new delta. That approximation…