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 note uses gold forward prices at two maturities to illustrate a carry-based arbitrage. If the later contract is priced above the earlier contract adjusted for financing and storage-related carry, a trader can buy the earlier exposure and sell the later…
The document explains how to price currency forwards across different maturities and reconcile a theoretical GBP/USD forward with traded futures. Its central approach expresses the forward as the current exchange rate multiplied by the foreign discount…
The document surveys instruments traders use to infer market expectations for central bank policy rates. For the United States, it describes extracting an implied move from one-month Fed Funds futures under the simplifying assumption that the overnight rate…
The document compares using one size-adjusted micro-price to guide both sides of a market-making quote with maintaining separate bid and offer fair values. Its examples use futures order-book prices and displayed sizes: the micro-price shifts toward the side…
The discussion asks whether government bond yields or swap rates better represent future short-term interest rates when the swap–bond basis is negative. It outlines possible market pressures on each side: liability hedging and cash constraints may increase…
The discussion compares ways to obtain historical market depth data for research, including specialist vendors, broker APIs, trading platforms, and collecting a dataset over time. It distinguishes consolidated quotes from full-depth exchange feeds, since…
The document compares two long-term U.S. Treasury bond futures for outright, long-biased trading. It presents Ultra Treasury Bond futures as having a more consistent volatility profile, attributing this to a more homogeneous deliverable basket and an…
The document discusses consolidating options-on-futures data from Reuters and Bloomberg when the vendors may not share a usable identifier. It proposes constructing an internal key from the underlying contract, maturity or expiry date, put or call type, and…
The document discusses how market participants price American options on Eurodollar futures and when a European-option approximation may be adequate. It contrasts tree-based models that represent early exercise with the simpler European treatment often used…
This question frames a market-microstructure research problem: whether intraday adverse selection on a futures or options contract changes systematically as that contract approaches expiry. The focus is the instrument itself, rather than adverse selection in…
The document asks whether a futures price can fall below spot if interest rates turn negative, starting from the cost-of-carry relation for an asset with no dividends. The response points out that a negative futures basis does not require negative interest…
The document addresses how to reconstruct historical trading dates for the S&P E-mini futures contract from its first appearance onward, especially when a holiday calendar does not cover the earliest years. The suggested approach is to request a futures…
The question examines how to price a contract paying the difference between an asset price and a fixed delivery price at maturity when the underlying pays a continuous dividend yield. It derives a risk-neutral measure by adjusting the Brownian motion so the…
The document addresses two practical questions in interest rate swap work: which quote side to use when building a curve from short-end reference rates, futures for the medium term, and swap rates for the long end; and how dealers hedge swap exposure. The…
The document questions media descriptions of US Treasury futures basis trades as arbitrage. It focuses on a cash bond and futures hedge, especially when the bond is the cheapest to deliver, and distinguishes a negative gross basis from a genuinely locked-in…
The document examines how to define a return for a futures spread when entering the position does not require paying its notional value. Initial and maintenance margin do not, by themselves, provide a stable measure of the capital committed or at risk. The…
The document explains how to obtain a partial differential equation for a discount factor used to express a futures price. It starts with a pricing PDE for a claim depending on the spot price and interest rate, then substitutes the similarity form in which…
The document clarifies that the E-mini S&P 500 futures session open for a given trading day is tied to the evening session start on the prior calendar day. The contract begins its next trading day at 6 p.m. New York time, so the listed open can differ from…
The question considers whether a euro holder who wants exposure to EUR/USD could instead trade a futures contract quoted in the reciprocal direction and post margin in euros, avoiding currency conversion. The answer identifies the CME Euro FX futures…
The document raises a modeling question: how to represent prices that may become negative when the usual geometric Brownian motion framework keeps prices positive. It considers whether a different distribution, such as a beta distribution, could be used, and…
The document asks how a futures backtester should represent the funds required when opening long or short positions. It considers using margin requirements calculated through CME's SPAN system and asks where historical margin data can be obtained, noting…
The document asks how to infer a six-month LIBOR fixing from three-month Eurodollar futures. It identifies the futures-implied three-month rate as 100 minus the quoted futures price, expressed as a percentage, and asks how to extend that information to a…
The note distinguishes Eurodollar futures from zero-coupon bonds, despite their apparent connection to short-term interest rates. A futures position does not involve lending the contract’s notional principal. Instead, the trader posts margin, and gains or…
The document asks how to reproduce a volatility strategy described in a referenced study: short VXX while holding a long position in a VIX futures contract. It proposes that the combination may isolate exposure to a later futures month, asks how many VXX…