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 discussion addresses why a yield curve built from three-month Eurodollar futures can shift downward even while the Federal Reserve is reducing asset purchases. Its central point is that futures-implied rates do not represent expectations of future policy…
The document outlines the basic comparison used to investigate whether an S&P 500 futures contract is mispriced relative to the underlying shares. The proposed reference is the value of the index, represented in practice by a representative basket of…
The document addresses how overlapping delivery periods can affect principal component analysis of gas forward curves. A monthly contract may also be included inside a quarterly or calendar contract, so treating all quoted contracts as independent curve…
The document considers whether exchange-listed rate futures can support an approximate US dollar yield curve when over-the-counter swaps and cash Treasury prices are unavailable. The instruments discussed include Eurodollar futures, Federal Funds futures,…
The document compares two ways of estimating daily volatility from closing prices: an exponentially weighted standard deviation of ordinary percentage changes, and a method from a financial machine-learning text that searches for a prior observation near one…
The document asks whether payment delays in overnight-rate OIS coupons require convexity adjustments when bootstrapping a single-curve SOFR discount curve. It describes a practitioner comparison of Bloomberg curve construction with published OIS formulas:…
The document explains why a futures trade can increase, decrease, or leave open interest unchanged. The key is that “new” and “closing” refer to positions in the same listed contract, rather than separate contracts with different maturities. When both…
The document explores how to estimate value at risk for a portfolio containing forwards and European puts. It proposes calculating each instrument’s profit or loss at a simulated maturity price, adding those component outcomes, and taking a tail quantile…
The discussion examines rho for a call option priced with the Black 76 model. Under the stated setup, the futures price is modeled without risk-free-rate growth, and the quoted call price discounts the payoff at the risk-free rate. If the futures price and…
The document explains why historical data for ES E-mini options can begin at different times before expiration. The accepted answer clarifies that these expirations are available well in advance; a data series begins when trades or other recorded market…
The document explains how continuous futures construction can distort the apparent long-run behavior of volatility futures. It contrasts additive back-adjustment, which shifts earlier prices by the difference between successive contracts, with multiplicative…
The document explains that convergence of stochastic processes needs a specified sense of convergence, and identifies weak convergence in the Skorokhod J1 topology as a relevant framework for càdlàg processes. A typical argument establishes tightness of the…
The document considers whether a position that trades one S&P futures contract against another has residual delta requiring a hedge. The response says a small dollar delta can reflect interest rate exposure between the two contracts’ roll dates. This is a…
The document explains how yield relative to the 6% conversion-factor benchmark can change which bond is cheapest to deliver in a futures contract. A conversion factor is the bond’s clean price at a 6% yield. To compare delivery candidates at a market yield,…
The document examines how to interpret a study’s reported returns for a short gamma strategy in S&P 500 options. The strategy’s daily dollar profit and loss is divided by the prior day’s index level, rather than by the initial option premium or trade cost.…
The document discusses whether AI can map Reuters Instrument Codes to Bloomberg tickers and describes practical obstacles to building such a system. Training examples may require licensed identifier data and substantial manual preparation, while full market…
The document asks whether at-the-money implied-volatility skew should match between ES futures options and SPX index options for the same maturity. It defines skew as the slope of implied volatility with respect to log-moneyness, where log-moneyness depends…
The document examines why index futures may show larger absolute price moves than the underlying index even when they trade in backwardation. It distinguishes futures delta, which describes the price relationship implied by the basis, from a hedge ratio…
The discussion describes the close relationship between SPY and S&P 500 futures. Their prices tend to move together, while the difference between them—the basis—reflects technical factors. The answer says the instruments are broadly interchangeable, though…
The document explains why a Treasury futures settlement price cannot be converted to a bond yield by treating the contract as a single fixed-coupon bond. A futures contract can have several eligible deliverable securities, each with a conversion factor…
The discussion explains how to build historical simulation VaR for a commodity forward whose delivery period is fixed. The key principle is to simulate changes in the current contract’s value using historical changes in its underlying risk factors, then…
The document examines the argument that a trader with enough capital to meet margin calls can hold a leveraged stock-index futures position through a severe decline and eventually recover when the market rebounds. The replies challenge the assumption that…
The document raises a fixed-income relative-value question about trading a deliverable bond that is not the cheapest to deliver (CTD) against a bond future. The proposed position is long the cash bond and short the future, with the expectation that the…
The document considers how to estimate potential mark-to-market losses when futures positions are rolled over the life of a structured product. The product described combines a bull put strategy with futures positions sized according to the options’ delta,…