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 discusses how positions can behave like volatility exposures even when they are not options. Currency carry is described as generally short volatility: carry returns tend to weaken when currency volatility rises and improve when it falls. The…
The document compares ways to express a 2s10s steepener, including cash bonds, interest rate swaps, futures, constant maturity swaps, and forward-starting positions. A cash bond trade offers a direct view but requires decisions about which bonds to hold,…
The document compares ways to infer expected dividends from dividend futures, equity or index futures, and options. It asks whether a dividend futures quote can be capitalized to settlement to estimate the underlying calendar-year dividend total, and whether…
The document explains how a treasurer can use Eurodollar futures to hedge the interest-rate exposure of a planned commercial paper issue. With the futures price implying an annual rate of eight percent, the answer converts that rate to a quarterly interest…
The document describes how a fixed-income market maker may hedge the risks created by customer trades. Hedge choice depends on existing portfolio exposures, instrument liquidity and transaction costs, covariance with the position being hedged, and the market…
This discussion compares Nikkei 225 futures listed on JPX, SGX, and CME for a swing strategy that uses market orders. It recommends evaluating liquidity by trading session, contract denomination and size, rollover costs, and the ability to trade or exit…
This short exchange explains how an exporter can hedge yen income with a futures position. A short futures position means agreeing to sell yen at the contract price, while a long position means agreeing to buy yen. Because the exporter expects to receive yen…
The document addresses whether options on SOFR, SONIA, and Euribor futures should be discounted. Its answer is that discounting still applies because derivative cash flows have time value. It suggests deriving the discount rate from the product's associated…
The document addresses how to keep a stock portfolio beta-neutral when holdings change over time and may consist only of long or only of short positions on a given day. Its proposed approach is to estimate the stock portfolio’s beta against an index, then…
The discussion distinguishes conventional Value at Risk from a forecast of how portfolio risk changes as contracts mature. Historical VaR is described as applying past market shocks to current exposures; it generally does not model trades rolling off or…
The document distinguishes the instantaneous correlation produced by a standard Cholesky-based simulation from cross-correlation at a nonzero lag. It describes simulating one geometric Brownian motion with normal shocks, then constructing the second process…
The document discusses how to evaluate a long–short VIX futures strategy when neither a purely long nor purely short position is an obvious comparison. One response suggests cash as a benchmark if the strategy has no directional bias, representing the return…
The document explains why a futures contract's historical listing may contain dates well before its delivery month. Exchanges list contracts across multiple expiries, but trading activity is usually concentrated in nearer contracts. Farther-dated contracts…
The document compares sources for historical limit order book data in US equities and cryptocurrency. It identifies LOBSTER as a widely used research source for US equities, and mentions exchange-provided Binance futures files, Crypto-Lake, Tardis, and…
The document asks where to obtain historical end-of-day options data for CME markets beyond CME DataMine. Replies name SIX Financial, CQG, BarchartOnDemand, and QuantGo as possible sources. BarchartOnDemand is described as offering CME end-of-day data…
The document considers how a trader who believes futures lead spot price discovery can use futures information to adjust passive spot quotes. The answer identifies the futures–spot difference as the basis and suggests modeling it as a function of time…
The document discusses which forward price belongs in a Black model for an option on a futures contract. The option’s underlying is the specified futures contract, but the relevant price is associated with the option’s expiry. For an option expiring before…
The question concerns simulating futures prices in Excel when a normal draw applied directly to prices can produce impossible negative values. The responses recommend modeling returns first, then deriving prices from those returns. One describes drawing a…
The document concerns finding historical daily prices for a set of commodity futures, including metals, grains, rubber, coal, and iron ore. The answer says Bloomberg covers the listed commodities except tobacco, for which the respondent could not find a…
The article explains short selling as selling a borrowed crypto asset and later buying it back, with a profit when the repurchase price is lower than the sale price, before fees. A Bitcoin example illustrates the price-difference calculation. It also…
The document explains an invite-only private mode for CFD copy trading. Elite traders can operate a private project alongside a public one, set a profit-share ratio within the stated range, and distribute access through invite links or a password. It also…
The document explains a unified trading account that combines supported spot, margin, and futures products within a shared asset pool. It describes how eligible collateral is valued using asset prices and collateral ratios, and how account equity…
The document explains how USDT-margined perpetual futures provide leveraged exposure to gold, silver, and PAXG without owning physical metals. It outlines account funding and transfer steps, contract selection, margin modes, order types, long and short…
The document introduces exchange-traded funds and explains how a spot crypto ETF gives investors price exposure through fund shares traded on a stock exchange. In the spot structure described, the fund holds the underlying cryptocurrency with a custodian,…