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 daily settlement for a futures position and clarifies the difference between the contract’s changing market price and the price originally agreed when entering the trade. Rather than comparing the futures price with the underlying asset…
The discussion asks whether long-running monthly forecasts for the S&P 500 are available. The replies report that the contributors do not know of a historical survey tracking expectations for stock indices. They suggest using S&P 500 futures, whose data…
This document compiles online sources for economic and financial data across asset classes. It groups providers and repositories by topic, including macroeconomic statistics, foreign exchange, equities, fixed income, options, futures, commodities, and…
The document explains how market-implied overnight rates around central-bank meetings can be inferred from federal funds futures or overnight index swaps. A futures contract reflects an average rate over its delivery month. If a meeting splits that month,…
The document explains the carry on a long cash bond and short futures position through the relationship between implied repo and the bond’s actual repo financing cost. If the bond is cheapest to deliver and the net basis is zero, delivery leaves the investor…
The document asks what practical value a calculated fair value for a futures roll provides when observed roll behavior appears to move against it. The author describes calculating fair roll as the price difference between the front and back contracts and…
The document describes calibrating a one-factor mean-reverting log-price model for oil using futures prices at multiple maturities as observations. It specifies a latent spot-price state, a measurement equation linking that state to log futures prices, and a…
The discussion distinguishes the traditional LIBOR-based swap curve from the overnight indexed swap (OIS) curve. The accepted answer says the LIBOR-based curve is not risk-free, citing the financial crisis and the subsequent shift toward OIS discounting. OIS…
The document outlines several reasons diversified futures are commonly used by large trend-following CTAs instead of ETFs. Futures can provide substantial notional exposure with relatively low margin, and the first answer notes that U.S. Section 1256…
The document surveys choices for testing automated equity and futures strategies and obtaining historical market data. It describes Zipline’s maintenance status as a concern, then lists alternatives and forks, including zipline-reloaded, zipline-trader,…
The question asks whether futures prices are determined by buying and selling interest, the underlying spot price, and time to expiry. The response says these are sufficient when the contract’s price semantics are included. In other words, interpretation…
The document explains ways to assess the cheapest-to-deliver bond in a Treasury futures contract, the chance that it changes, and the relative richness or cheapness of calendar spreads. One suggested CTD indicator is the deliverable with the largest gap…
The document describes how to infer a measure of volatility of volatility by comparing a VIX future with a forward-start variance swap. The forward variance strike represents the expected future variance, while the VIX future reflects the expectation of the…
The document examines why a rate inferred by compounding short-term LIBOR fixings can differ from the rate suggested by a Eurodollar futures quote for a roughly comparable period. It explains that three- and six-month LIBOR reflect unsecured lending for…
The document explains how exchange-rate changes affect the realized return of a euro-based investor trading US Treasury futures without delivery. Its answer treats futures P&L as the daily gains or losses credited to a USD account. When the trade is closed,…
The document discusses building a micro-price from limit order book data to forecast short-term prices in futures and related instruments. It proposes progressively richer weighted-price estimates: start by incorporating best bid and offer quantities, then…
The document asks why spot and futures prices tend to move toward one another before maturity, beyond the familiar no-arbitrage condition that requires equality at expiry. One response explains the process through arbitrage trades: when spot is above…
The document examines why a portfolio of VIX futures targeting a constant 30-day weighted average maturity can lose value despite the usual contango explanation for gains in inverse VIX products. The question is whether buying more of the higher-priced…
The document asks why a forward or futures price is expressed as spot multiplied by an exponential of net carry over time, and what convenience yield represents. The response points to standard pricing references and gives a brief no-arbitrage intuition:…
The document considers how to evaluate an automated strategy whose entry decisions depend on Level 2 order book data. The trader can obtain historical tick data through their broker but lacks historical market depth for the CME and Globex equity index…
The document sketches a layered approach to pricing an American option on a bond futures contract. First, use a term-structure model to simulate yields or prices for all deliverable bonds across relevant dates. Short-rate models such as Vasicek or Hull–White…
The document addresses a European option expiring before the underlying currency futures contract. It distinguishes futures from forwards: futures are marked to market, so an option exercised at its own expiry produces a futures position whose value is…
The document questions the cost-of-carry model for commodity futures when storing a commodity today may cost more than obtaining new supply at a later date. It uses oil as an example and asks whether the usual carry-based price should be treated as an upper…
The discussion connects unemployment releases to bond futures through expectations about economic growth, interest rates, and bond yields. In one proposed chain, rising unemployment points to a weaker economy and possible rate cuts; lower yields then raise…