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
This exchange considers how to represent transaction costs when a futures calendar spread can be traded as a single exchange-listed contract. The question observes that the spread contract may have a lower execution cost than trading its outright legs…
A trader describes processing roughly four years of financial tick data in InfluxDB to build candles. A single large query exhausted available memory, so they split the work into monthly queries, processed each chunk, and accumulated the output. Their…
The document asks which date should define time to maturity when calculating implied volatility for an American option that stops trading before its stated expiration. The accepted response says to use the time until the option expires, rather than the…
The document distinguishes three ways of pricing stock exposure: buying the stock now, agreeing to pay later through a forward or futures contract, and paying now for delivery of the stock at a future date through a prepaid forward. Under the stated…
Market makers may provide liquidity in one instrument while taking liquidity in another to reduce the risk created by their inventory. The document describes several cases: options makers may collect a wider option spread and use market orders in the…
The document discusses how to interpret sensitivities of VIX futures to the S&P index, volatility, rates, and time. It describes VIX as derived from a weighted basket of SPX options and notes that a futures contract’s settlement references a later option…
The discussion outlines ways to reduce interest rate exposure on a long bond position while setting credit risk aside. A bondholder can enter an interest rate swap to pay fixed and receive floating; the swap’s cash flows can offset much of the bond’s fixed…
The document explains why exchange-traded commodity futures are commonly quoted by contract expiry month, while swaps and other over-the-counter fixed-income products are often quoted by tenor. Futures exchanges concentrate trading in a limited set of…
The discussion outlines a historical Value at Risk approach for a portfolio of futures and options. It proposes applying past instrument returns to current positions to estimate historical dollar profit and loss, then selecting a lower-tail percentile as the…
The document explains how an FRA quote links discount factors at the start and end of its accrual period, and how that relationship can extend a short end Euribor curve. Under simple accrual, the forward rate and tenor determine the ratio of the two discount…
The document describes a way to create synthetic forward rate agreement exposure using Eurodollar futures. Its example combines a long position in a contract expiring in 120 days with a short position in one expiring in 30 days to represent exposure to a…
The document considers how to hedge a borrowing cost that floats with the federal funds rate plus a lender margin, when swaps are unavailable. It discusses short positions in two-year Treasury futures and federal funds futures, and suggests Eurodollar…
The document considers whether a fixed-for-floating electricity swap should be valued from the difference between the monthly futures price and the fixed contract price, or by applying Black-76 with the fixed price as a strike. It raises two conceptual…
The document explains that a futures contract’s fair value can itself move as market expectations change. For equity index futures, uncertainty about future dividends and the cost or benefit of borrowing the underlying can shift the estimated fair value, so…
The discussion distinguishes the relationship between spot and futures prices from a claim about which price must drift toward the other. At expiry, the futures price equals the spot price, but that convergence condition does not determine the direction of…
The note addresses how to estimate Treasury futures prices under interest-rate shocks when the cheapest-to-deliver bond might change. It explains that the futures price need not be known first to identify the cheapest-to-deliver security. A simplified…
The note outlines risks that can destabilize a leveraged Treasury cash-futures basis trade. It identifies three possible pressures: repo funding costs can surge, futures prices can move through cash prices during a rush for safe assets, and higher volatility…
The document discusses adjusting short-term interest rate (STIR) futures rates when calibrating a curve that also uses interest rate swaps. It outlines theoretical approaches based on short-rate models or volatility and covariance estimates, as well as…
The document addresses why a standard Black–Scholes implied volatility calculation may fail to reproduce a calculator’s result for Eurodollar options. Its accepted answer says the quoted volatility is based on the implied rate, so the futures price and…
The document asks whether exchange-traded short-term interest rate futures and their options have a standard modeling framework comparable to SABR extensions of the Libor Market Model used for over-the-counter derivatives. Its focus is the difference between…
Brazilian One-Day Interbank Deposit futures reference the local interbank rate and settle financially. No deposit or other asset changes hands; instead, positions receive or pay daily cash adjustments based on the change in a contract unit price, adjusted…
The document explains a simplified way to estimate the adjustment between short-term interest rate futures and cash rates. The quoted approach compares a futures-implied rate with a reference rate derived from a swap curve; the observed difference is treated…
The document explains how Treasury bond futures settlement relates to the economics of delivering a bond. The question contrasts closing a short futures position, where the contract multiplier translates a price move into mark-to-market profit or loss, with…
The document asks how to reproduce TradingView’s Pivot Points High Low indicator for use in code. The replies describe a standard pivot approach: scan a rolling window and mark its middle observation as a high pivot when it is the maximum, or as a low pivot…