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 considers how to compare hedging strategies for two models that price options on WTI crude oil futures. It questions whether a traditional delta hedge is meaningful when the underlying is a futures contract, since buying or selling futures does…
The question asks whether a CME futures order book consists of aggregated stop and limit orders, using a hypothetical book to illustrate how consuming displayed offers can change the cost of executing a buy order. It also asks how the spread could narrow…
The discussion considers how an issuer might hedge an ETN linked to a VIX strategy, especially when replicating an index with VIX futures could involve trading costs and limited liquidity in deferred contracts. The answers emphasize that a hedge need not…
The document frames a practical question about pricing resting buy and sell limit orders in a market making strategy for liquid futures. It asks which microstructure signals should influence quotes and raises portfolio valuation as a related concern. The…
The document surveys ways to estimate which kinds of participants are active in a market, while noting that reliable high-frequency identification is difficult, especially in equities. Suggested sources and proxies include weekly futures positioning reports,…
The document outlines a simple Monte Carlo approach to valuing the wildcard option in Treasury futures. It proposes sampling late-day changes in the cheapest-to-deliver bond during the delivery period, then evaluating each day whether exercising the wildcard…
The discussion addresses building a daily indicator for which Eurozone government bond is cheapest to deliver against a bond futures contract, for use in a repo-rate panel regression. It gives a Bloomberg Excel history query for the futures CTD identifier…
The document explains why an equity index futures price can be below the expected future level of the index. Under the stated setup, the expected index value reflects investors’ required expected return, while the futures price reflects the risk-free rate…
The document introduces Generalized Information Share (GIS) as an extension of Hasbrouck's Information Share for assessing how different markets or information sources contribute to price discovery. It outlines a suggested workflow: fit a vector…
The document outlines a multi-curve approach to building the euro three-month forward curve alongside the OIS discount curve. It identifies short-dated futures, swaps at longer maturities, and LIBOR–OIS basis swaps as market instruments used in the process.…
The document asks whether predicting limit order cancellations has academic or practical value, including for exchange surveillance, spoofing detection, and high-frequency trading. The response emphasizes that spoofing is difficult to define and prove: an…
The document explains why dates supplied to QuantLib’s futures rate helpers may not appear as nodes in a bootstrapped yield curve. A futures contract provides a forward rate for an accrual period, so its start date is not the tenor date inferred by the…
The document explains how to describe and assess a roll between Treasury futures delivery months. The quoted market roll is the front contract price minus the back contract price, expressed in thirty-seconds. A theoretical comparison starts with the fair…
The document considers estimating hedge ratios for spreads between Treasury futures when historical DV01 data are unavailable. It describes empirical DV01 as an estimate from a regression of futures price changes against changes in the yield of the…
The document addresses how to calculate fair value for a futures contract on a two-stock index when the component stocks pay dividends before expiry. The central issue is that the index level is expressed in index points, so dividends stated as currency…
The document examines how a short three-month SOFR futures position compares with a short single-period swap (SPS) over the same accrual period. Its answer emphasizes that the IMM dates and exact number of days matter when matching the instruments’ rate…
The document examines whether a futures contract’s price relative to its underlying asset predicts the underlying’s later direction. It proposes a historical check: compare the contract’s position above or below the underlying with the underlying’s eventual…
The document derives the dynamics of a stock forward when the underlying stock pays a constant dividend yield. Starting from a geometric Brownian motion for the stock, it states the forward price as the spot price adjusted by the financing and dividend…
The document considers estimating a riskless interest rate from spot and forward or futures prices using the relationship between the forward price, spot price, rate, and time to maturity. Rearranging that relationship gives an implied rate from the…
The document considers which volatility input to use when pricing options on futures with the Black model or a binomial tree. Its central point is that the appropriate volatility depends on the asset class and on which instrument provides the most relevant…
The document asks how to build a USD multi-curve setup for trading Fed Funds and Eurodollar futures, with Fed Funds and three-month LIBOR forecast curves. It compares discounting from an OIS curve based on effective Fed Funds with using the Interest on…
The document derives a futures rate from the expected value of a money-market rate in a one-factor Heath–Jarrow–Morton framework. Using the bond-price dynamics, it obtains a convexity term expressed as an integral involving bond volatilities. The adjustment…
The document discusses a one-period, two-state replication of a forward using stock and cash. The stock holding is chosen to match the difference between the forward payoffs across the two future states, and the cash position makes the combined portfolio…
The document raises practical questions about valuing a put option on a Eurodollar futures contract. It considers how a futures price move affects the option’s payoff, how to calculate breakeven from strike and premium, and how the option’s quoted minimum…