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 examines delta and gamma for crypto options quoted and settled in the underlying cryptocurrency, with an emphasis on hedging through a same-maturity future. It describes converting an option value from crypto units into a dollar value by…
The document asks how to obtain market quotes for CME-cleared SOFR swaps when available Bloomberg SOFR swap rates represent LCH-cleared swaps. The proposed construction is to combine the LCH swap rate with the LCH-CME basis, while the question asks whether…
The document asks how to price options on one-month and three-month SOFR futures when the futures themselves are settled daily. It reasons that daily settlement makes a futures price a martingale under the risk-neutral measure because gains and losses are…
This note considers how a humped USD interest-rate swap curve affects zero rates, forward rates, and modeled spot curves at future dates. The author describes bootstrapping a zero curve from swaps using a two-factor Hull–White model with constant parameters,…
The document asks how the Central Limit Theorem can establish that a scaled symmetric random walk converges at a fixed time to a normal distribution with mean zero and variance equal to that time. The concern is that the sequence of random-walk values across…
The document discusses why futures prices can respond to supply and demand in the futures market rather than being mechanically fixed by spot prices. In contango, an investor may buy physical oil at a low spot price, store it, and sell futures for later…
The discussion describes how on-the-run Treasury prices emerge from investor supply and demand, with expectations for the future path of short-term interest rates cited as a major influence on yields. It then presents a market-structure view in which liquid…
The question distinguishes daily futures data from transaction-level information. A daily dataset may report contract-level market statistics without showing individual trades, leaving the user unable to identify each buyer and seller from those records…
The discussion addresses whether shorting a futures contract earns a return simply because its price converges toward spot as expiration approaches. It explains that the futures price difference reflects carrying costs and financing, rather than a separate…
The document asks how to infer a yield from a Treasury bond futures price and outlines that the calculation has several possible approaches. The key instrument link is the futures contract's cheapest-to-deliver (CTD) bond: translating the futures quote into…
The document asks how exchanges determine daily settlement prices for illiquid futures contracts when no trades occur, since positions still need to be marked to market. It seeks information about practices actually used and how common they are, rather than…
The document proposes several event-driven market patterns as possible subjects for trading research: bond activity around month-end, imbalances near the daily close in cash equities, and price behavior around futures expiration or settlement, with VIX…
The document questions whether a bond’s carry, estimated from changes in dirty price and yield, can be used to infer its implied repo rate. The response instead defines implied repo through the cash-and-carry trade: buy the cheapest-to-deliver bond and sell…
The document discusses estimating value at risk for a commodity forward exposed to commodity price, foreign exchange, interest rate, and commodity spread movements. It explains that full revaluation can be practical when the forward pricing formula is…
The discussion considers whether robust intraday strategies can exist despite noisy price movements. It explains that a random-walk simulation is not a reliable way to discover technical trading signals, while risk controls such as profit targets and stop…
The document explores why a futures contract is quoted at one market price even though a long and a short position gain or lose value in opposite directions. It describes a commodity contract with a fixed delivery amount, price, and expiration, then…
The document explains variation margin in a futures contract. When the contract price moves against a buyer, the exchange requires the buyer’s margin account to cover that loss. The payment records the loss already incurred from the price move; it does not…
This exchange explains how a bond futures contract relates to the bond delivered at expiration. The question asks whether the conversion factor determines the face amount of the cheapest-to-deliver bond corresponding to a futures position. The answers…
The discussion considers why reported market anomalies may weaken after researchers or traders identify them. It offers several explanations: market participants adapt and compete, trading on a mispricing moves prices toward fair value, and some apparent…
The document asks why futures do not have price alignment interest of the kind associated with cleared swaps, and whether interest received on margin must be repaid to the counterparty. The answer explains the distinction through daily settlement: futures…
The question sets up a one-year USDMXN forward hedge using quoted USD and Mexican peso swaps, cross-currency basis swaps, and spot FX. It asks how to hedge a forward sale by laying out the required transactions, their directions, and tenors, assuming…
The document asks how to build a return-adjusted nearby series from futures contracts. It refers to a guide that describes this approach as a way to create a continuous time series, then asks whether returns should be calculated within each individual…
The document shows how to aggregate an ordered sequence of trade-price observations into OHLC bars based on a fixed number of ticks rather than elapsed time. It assigns successive observations to bar groups, then calculates each group’s first, maximum,…
The document explains how a bond’s cash flows can be converted into another currency using a cross-currency swap. An investor could hold a fixed-coupon U.S. Treasury and exchange its expected dollar payments for payments in a foreign currency, creating…