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 asks which securities offer options expirations more often than monthly, motivated by a strategy of buying near-the-money calls when little time value remains close to expiration. It notes that many U.S. stock options expire on the third Friday…
The discussion clarifies which expiry to use when applying a Black-style model to an option on a VIX future. It says to use the option’s exchange-published expiration date, measured from the valuation date, rather than the maturity of the underlying futures…
The document explains why forward prices can matter to option valuation even when a Black–Scholes formulation is written using spot and an interest rate. For equities, no-arbitrage cash-and-carry reasoning connects spot, funding, dividends, and the forward…
The document defines IMM dates as the third Wednesday of March, June, September, and December, then gives an Excel date formula for generating the next quarterly date from a starting date. The formula advances three months, finds the first Wednesday in the…
The document considers a physically settled crop futures contract when the farmer cannot deliver after a natural disaster destroys the crop. The answer explains that the contract remains in force and that failure to deliver can constitute default,…
The document explains why futures open interest can be an odd number even though every open contract has both a long and a short. Open interest counts contracts, not the two sides separately, so its value does not need to be even. When both parties open…
The document outlines a scenario-based approach to assessing the richness or cheapness of a government bond futures basis and asks how to value the end-of-month switch option. The described steps estimate historical betas for yield changes, apply directional…
The document asks how to infer market expectations for a future central bank decision from overnight indexed swaps or short-term interest rate futures. It introduces an OIS relationship that equates the fixed leg’s accumulation with compounded daily…
The document discusses which market instruments can provide data for constructing yield curves during the transition from LIBOR to SOFR. It describes the familiar LIBOR approach, which uses forward rate agreements, futures, and swaps referencing the relevant…
The document addresses where to obtain historical European Union Allowance futures data at intraday frequency for carbon market research. The response points to a commercial market data vendor that offers trade histories and, optionally, quote histories for…
The document explains how closing a futures or perpetual futures position changes a trader’s net exposure. A trader closes a long by selling the contract, which opens or increases a long position for whoever buys it. The original short position remains open;…
The document addresses how a T-forward measure can be used when a directly observed zero-coupon bond for the required maturity is unavailable. It explains that market curves are built from instruments spanning different horizons: spot borrowing rates anchor…
The document examines whether the conditional covariance of two assets at a later date can be decomposed by conditioning on their forward values at an intermediate expiration. It starts from the usual expression for covariance as the conditional expectation…
The document asks whether the minimum-variance hedge ratio derived from returns also minimizes variance at the price level. It highlights that a hedge ratio chosen to reduce variation in changes or returns may not optimize variation in price levels,…
The discussion considers how to estimate a smooth price distribution when most observed intraday futures prices occur only once. It suggests starting with a histogram, where the chosen price-bin width changes the visible clusters, and describes kernel…
The document describes the role of trading classes in Interactive Brokers contract identification. A trading class adds an identifying layer when a symbol, expiration, and currency may not uniquely distinguish securities, such as when related contracts have…
The document outlines practical challenges for a firm moving from vendor-provided end-of-day data to live feeds from exchanges. Direct access means handling exchange-specific formats and APIs, building and maintaining parsers, and arranging network…
The document asks whether a long position in a quarterly bitcoin future and a short position in a perpetual swap can remain market neutral. It explains that perpetual swaps have no expiry and use funding payments to help keep their prices near spot. The…
The document derives a linear state-space representation for estimating parameters in a futures price model with two latent factors. The state variables follow continuous-time stochastic processes: one mean-reverts, while the other accumulates shocks.…
The document asks whether potential pairs can be screened faster than testing every stock pair across every tick. It describes a theoretical approach based on fast matrix multiplication, which can reduce the asymptotic cost of computing a correlation matrix.…
The document compares two ways to infer expected Federal Reserve rate changes across upcoming meetings: differences between successive overnight index swap rates, and implied average rates from fed funds futures. It gives a dated example using swap quotes…
The document clarifies how to identify the cheapest-to-deliver bond in a futures contract. The seller’s relevant comparison is each eligible bond’s market price relative to its futures invoice price, which incorporates the conversion factor. The CTD is the…
The document describes a QuantLib issue encountered while bootstrapping a futures-based yield curve. A FuturesRateHelper constructed with explicit start and end dates, an ASX futures type, and numeric price and convexity inputs returns a null maturity date;…
The document asks how to create a QuantLib business calendar from a supplied list of holidays and weekends when standard country or currency calendars do not match the relevant market schedule. The answer shows the basic approach: start with a weekends-only…