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 clarifies a market interpretation of declining open interest in long Bitcoin futures positions. The question asks how closing futures longs could limit further declines in Bitcoin, given that futures are often viewed as bets on the underlying…
The document collects approaches to generating synthetic price series that remain within a chosen range while exhibiting a specified, but imperfect, relationship to historical prices. One answer proposes modeling returns with an Ornstein–Uhlenbeck process…
The document asks whether a trader with limited capital can design a futures strategy that profits regardless of every possible sequence of price moves. Its answers connect the question to arbitrage and the assumption of no arbitrage in market models, and…
The document explains cash-settled futures convergence through arbitrage and the contract’s settlement mechanism. In a frictionless example, an investor buys the underlying while shorting a futures contract priced above it. At expiry, the futures cash…
Short-term interest rate futures imply an average reference rate over each contract period. To estimate the rate expected after a central bank meeting, carry the known pre-meeting rate across the days before the meeting, then solve a day-weighted average…
The document addresses apparent half-tick price changes in Micro E-mini futures despite the stated minimum tick size. Its accepted answer suggests first checking whether the data show executed trades or midquotes. When the bid–ask spread widens from one tick…
The document asks how to find past expiration dates for futures, especially stock index contracts, and contrasts calculating dates with retrieving recorded contract data. One answer describes querying historical instrument definitions from a market data…
The document addresses how to construct a hedge across two-, five-, and ten-year Treasury futures that is neutral to parallel shifts and changes in yield-curve slope. It describes running principal component analysis on a returns matrix and interpreting the…
The document discusses how to measure and hedge repo rate exposure embedded in a bond derivative. It notes that repo rates can move with overnight indexed swap rates while still diverging enough for the repo versus OIS spread to create material risk. This…
The document describes an attempt to fit a stochastic volatility model to five-minute volume-weighted average prices for the euro–US dollar market. It outlines parameters for the long-run volatility level, persistence, current latent volatility, and…
The response cautions that an expected end to quantitative easing does not automatically imply falling Treasury futures prices or a profitable long put position. If a policy change is widely anticipated, markets may already reflect it. The author also points…
The response describes how market makers estimate fair value for a domestic ETF when its international holdings are not trading. Rather than relying on unavailable spot prices, they combine proxies such as American depositary receipts, foreign equity…
The document considers using an FX futures contract to hedge an FX forward, with the question focused on spot-rate exposure while setting aside currency interest-rate sensitivities and cross-currency basis risk. The answer offers a concise market…
The document explains that QuantLib’s C++ calendar interface provides a holiday-list function, but the Python wrapper does not expose it. Calling that method from a Python calendar therefore raises an attribute error, and calling it as a standalone function…
The document describes a proposed method for turning expiring corn futures contracts into a continuous price or return series. It tracks the nearby and first-deferred contracts and suggests switching between them when open interest in the deferred contract…
The discussion considers whether a widening gap between a bond futures price and its spot price causes the bond yield to rise. The answers describe the price gap as related to financing carry and argue that changes in yields or financing conditions generally…
The document explains how Fourier pricing formulas for European options can be adapted from spot assets to futures. It focuses on the Variance Gamma model and notes that its raw process characteristic function needs a drift adjustment so the exponentiated…
The document asks whether the carry of a short bond futures position can be estimated by subtracting the cheapest-to-deliver bond's conventional yield from the futures implied repo rate. The answer explains why the direct subtraction is not generally valid:…
The document shows a QuantLib workflow for bootstrapping a yield curve from deposit rates, futures, and swap rates, then asks why some curve node dates do not match the apparent swap tenor dates. The example uses a U.S. calendar, modified-following…
The document discusses portfolio optimization using an ETF and VIX futures, comparing minimum-variance and Sharpe-maximizing approaches across different rebalancing schedules. The response focuses on minimum-variance intuition: an asset’s weight is…
The document asks how to express swap portfolio sensitivities in terms of bond and SOFR futures risks when the swap’s pricing model does not directly use those instruments. It frames the task as mapping risk between two instrument sets and explains that,…
The document considers whether a Euro Stoxx futures contract and matching European call and put options offer an arbitrage when only one of each contract may be traded. It introduces put-call parity and rearranges it to compare the call-minus-put price with…
A total return swap is an over-the-counter contract, so whether it can be terminated early depends on the negotiated termsheet. Some agreements provide break rights and others lock the parties in until maturity. The responses describe dealer-to-dealer trades…
The document explains how to interpret Eurodollar futures prices as implied forward rates and use them to build a sequence of zero-coupon rates and discount factors. Its central step is to convert each quoted futures price into a rate by subtracting the…