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 surveys ways to obtain long-history intraday data for S&P 500 instruments, including index or ETF prices, futures, and options. The responses describe commercial vendors, exchange data shops, academic databases, and hosted research platforms.…
The document explains why exchange-traded futures can be bought and sold as standardized instruments even though individually negotiated forwards may carry different delivery prices. Exchanges specify common contract terms, such as the underlying and…
The document derives the futures price for an asset whose price process and short rate are driven partly by the same Brownian motion. Since the futures price is the expected future spot price, the solution first expresses the integrated short rate as a…
The document asks whether reliable foreign-exchange prices are available during the weekend, when conventional spot markets are largely closed. The response cautions that quotes visible during quiet hours can be stale, making them poor evidence of current…
The document explains why futures positions commonly end without physical delivery. It describes offsetting as closing a position by taking the opposite side in the same number of standardized contracts before expiration. The responses distinguish exposure…
The document explains why the calendar spread between nearby German government bond futures can differ from zero and why rolling a position has a cost. Ignoring delivery options and margining, a bond future can be approximated as a forward whose fair value…
The discussion clarifies how to calculate the floating and fixed cash flows on an overnight indexed swap. The fixed leg is generally a simple interest amount under the applicable day-count convention, rather than a compounded notional repayment. For the…
The discussion asks whether EU Emissions Trading System allowance prices can be projected from spot prices using a single discount rate or another market-implied method. The responses point to policy risk as a reason forward prices may sit below expectations…
The document describes how market makers can hedge index options without trading every constituent in the underlying equity basket. For options written on index futures, a single option’s delta exposure can be offset by trading the corresponding futures…
Index futures can trade while the constituent stocks are closed because their prices reflect changing expectations about where the index would trade if the cash market were open. News and developments abroad continue to arrive overnight, and traders use…
The response defines delta-one products by their theoretical sensitivity to the underlying: a change in the underlying produces a corresponding change in the product’s value, giving a delta of one. It adds that the sensitivity should remain constant,…
The document asks how to distinguish a market-price-based delta from a model-price-based delta for options on Treasury futures. It describes delta as the option price's sensitivity to the underlying futures price and proposes estimating that sensitivity by…
The document addresses why a futures price is modeled as a martingale under the risk-neutral measure even though its expected path under the real-world probability measure may rise. Daily settlement and the absence of a futures contract’s funding cost…
The document explains that option traders can seek directional gains as well as profit from volatility. Buying calls can express a bullish view with less upfront capital than buying the underlying or futures, while limiting the buyer’s loss to the premium…
The document frames a relative-value trade between American-style options on different futures, potentially quoted in different currencies. The proposed view is to sell volatility in the option with higher implied volatility and buy volatility in the other,…
The document distinguishes a futures contract’s price from its value. At initiation, the contract is entered without an upfront payment between the parties, so its value is zero even though its agreed futures price is not. As the market price moves, the…
The document explains why treasury futures carry cannot be obtained simply by subtracting an implied repo rate from a deliverable bond’s yield. Under a strict definition, pure carry consists of known cash inflows and outflows from holding and financing an…
The document explains how repo financing can make a small Treasury cash-and-futures basis return attractive. The relevant comparison is between the implied financing rate embedded in the bond-futures trade and the actual repo borrowing rate: the residual…
The document outlines a way to estimate a five-year UK gilt yield, and a potential futures price, when the contract is illiquid and only a few related market quotes are available. It first fits a US Treasury curve to short and longer maturity rate…
The document considers a short over-the-counter foreign exchange forward hedged with a long exchange-traded currency future when their maturities differ. It identifies counterparty exposure if the forward counterparty defaults while the futures position…
The document explains why cumulative delta readings in the E-mini S&P 500 futures contract (ES) can differ sharply from those in its micro contract (MES). Cumulative delta records executed buying versus selling volume in a particular contract. Although the…
The document explains why an asset forward price has the same percentage volatility as its spot price when the interest rate is constant and the cost of carry equals that rate. In this setting, the forward price is the spot price multiplied by a…
The document considers whether publishing a technical indicator can reduce its subsequent trading performance. It frames a strategy’s historical results as a mix of genuine alpha and overfitting, with only genuine alpha expected to persist out of sample;…
The note explains how collateral and funding payments relate to liquidation in perpetual futures. In the answer’s account, a position is liquidated when collateral falls below the maintenance margin. Collateral includes the amount initially posted, realized…