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 the setup for hedging a spot exposure with a futures position. It models the change in spot price as a linear function of the futures price change, plus an intercept and an error term. For a position long one unit of the spot asset and…
The document clarifies that a reported short-interest figure for VIX futures can refer to the short positions held by a particular trader category, rather than to all outstanding futures contracts. The cited Bloomberg series represents CFTC Commitments of…
The note addresses how to reduce a panel of NIFTY calls and puts across strikes and expiries to a daily option series for lead-lag analysis against spot and futures. One suggestion is to select the most liquid at-the-money option, using bid-ask spread as a…
The document outlines a research project on whether weather, agricultural statistics, and other information can help explain or predict US soybean futures. It proposes narrowing the study to Illinois and examining how local conditions affect yields and…
The document considers how to incorporate temperature forecasts into a natural gas fair-value model, including which regions’ weather matters and whether regional temperatures should be averaged. The response describes a relationship between temperature and…
The document examines whether shorting government bond futures or entering a payer interest rate swap is the cheaper way to hedge interest rate exposure. It compares a futures position, which may benefit from pull to par, with the stated fixed and floating…
The discussion surveys reported tools used to price and manage electricity and natural gas risk. One contributor cites neural networks in corporate trading technology. Another describes a broader toolkit spanning futures, forwards, swaps, and options,…
The document examines how to interpret the sensitivity of a commodity futures price to spot, contrasting a cost-of-carry expression that includes a convenience yield with an argument that daily futures settlement affects the futures-versus-forward…
The document surveys choices for researching, backtesting, and running trading algorithms, including custom code and dedicated platforms. One contributor favors building a research workflow around personally managed data and scripts, arguing that this makes…
The document explains how to turn central bank meeting rate expectations into an overnight ESTR curve, then combine that curve with a separate ESTR-to-Euribor basis curve to estimate six-month Euribor rates for FRA pricing. Its example uses meeting dates as…
This discussion explains why the cheapest-to-deliver (CTD) bond in a Treasury futures contract can change. It identifies several drivers: deliverable bonds age out of the basket, newly issued bonds may become cheapest to deliver, and small relative price…
The document asks how to measure portfolio sensitivity to dependence in a multivariate t-copula model, in a setting involving electricity futures and rank correlations estimated with Kendall’s tau-b. The proposed finite-difference calculation perturbs the…
The document considers how a wind generator might manage revenue risk when production is concentrated in low-priced nighttime hours and peak-to-off-peak spreads can turn negative. The responses describe baseload futures as a way to hedge expected volume and,…
The discussion asks where to obtain open interest by strike and expiry for options on futures, including energy and equity index contracts. The accepted answer points to the exchange’s daily settlement information, which includes open interest data and can…
The document explains why holding futures with notional exposure equal to an index mandate may still fail to track the index. A futures position reflects financing and expected dividends through its cost of carry, while the investor also holds cash. Tracking…
The document raises a modeling question about fitting SVI-family implied volatility surfaces to options on commodity futures. Standard SVI fitting often imposes constraints intended to prevent calendar-spread and butterfly arbitrage. The concern is that…
The explanation distinguishes the cost of carry from convenience yield in commodity futures pricing. Carry costs, such as the expense of holding inventory, make physical ownership less attractive. Convenience yield works in the other direction: it represents…
The document asks why a forward rate agreement settlement is discounted at the start of its underlying interest period, while a Eurodollar futures payment is described without that discount. The question frames the issue from a borrower’s perspective and…
The document compares futures and options as hedges for an oil trading company with fixed-price sales linked to Brent. It describes a short futures position as offsetting the price exposure of a long commodity position, assuming the hedge matches the…
The document lays out a worked approach to calculating Treasury futures gross basis, net basis, and implied repo rate from a cheapest-to-deliver bond. It covers coupon dates, accrued interest, coupon income, financing cost, and the delivery date choice. The…
The document outlines a starting point for assessing interest rate risk in a portfolio of Treasury cash securities and futures. It suggests looking for published DV01 information for futures, while noting that broader market data may require a commercial…
The document asks where to obtain real-time market data at millisecond or microsecond intervals for charting many symbols together. The team describes a visualization workload involving hundreds or thousands of feeds and says its desired feed would combine…
The question examines why futures-based exchange-traded products can decline over time in contango, using crude-oil and volatility products as examples. It distinguishes losses attributed to selling an expiring nearby contract and buying a more expensive…
The document distinguishes a forward rate tied to specific calendar dates from a forward rate quoted for a rolling tenor. If the start and end dates remain fixed, the rate observed on a later valuation date reflects changes in the market’s forecast curve;…