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
This document discusses which price series should be used to estimate volatility for the Black model and whether volatility needs to be annualized. The responses emphasize matching the volatility estimate to the instrument used for hedging: a hedge based on…
The document asks whether steep contango in nearby VIX futures as a contract approaches expiration can serve as a useful market-timing signal. The response explains that a VIX futures price reflects the market’s pricing of expected S&P 500 realized…
The document considers why a leveraged fund might hold a cash bond to obtain interest-rate exposure when an OIS swap could provide similar sensitivity. It does not identify a universal pricing advantage when the instruments are fairly priced. Instead, the…
The document compares over-the-counter FX forwards with exchange-traded futures, explaining why customers and banks may use the OTC market. Forwards can be tailored to a customer’s currency, amount, and delivery date, while listed futures use standardized…
This exchange addresses how to obtain historical trade counts for individual stocks and other instruments, and how to construct a count series when a ready-made dataset is unavailable. One response points to Interactive Brokers historical bar data, where a…
The document raises a practical sizing and spread-construction question for a pairs trade involving one Brent contract and one Gasoil contract. Although the two contract prices are of a similar scale, their minimum price fluctuations have different monetary…
The document considers whether historical futures data from one crypto exchange can support backtests for a strategy traded on another. The motivating issue is a change in listed contracts that leaves little history for the replacement market, prompting the…
The discussion explains how bond DV01s measure each bond’s approximate price sensitivity to a one basis point move in its own yield, under a parallel shift assumption. Because the 5-year and 30-year bonds respond to different points on the yield curve, a…
The document explains what a strip of Eurodollar futures can imply when its quarterly rates are compounded over a one-year period. The resulting rate represents a December-starting one-year compounded three-month LIBOR forward, and is closely related to a…
The document describes a way to express a fixed tanker transportation payment as a percentage of the oil cargo’s value. It relates vessel capacity in barrels to the futures contract’s stated unit size, then uses the quoted futures price to value the cargo.…
The document describes a proposed forward-starting swap steepener: receive fixed on a five-year swap and pay fixed on a thirty-year swap, with both starting at a future date. It frames carry as the benefit that may arise if the spot five-to-thirty-year curve…
The document considers how to hedge a government bond portfolio using available short- and long-maturity futures. It cautions that a single quoted risk measure or maturity match is not enough to determine an effective blend: DV01 is nonlinear, and duration…
The note clarifies what volatility implied by VIX options represents. VIX itself reflects an estimate of S&P 500 volatility over a forward 30-day period, but a VIX option does not simply measure the future volatility of today’s spot VIX. VIX options expire…
The document considers hedging a one-year exposure in an underlying asset with Brent crude futures. It raises whether to match futures maturity to the exposure or use shorter-dated contracts when their historical price changes show a stronger relationship,…
The document frames a cash-and-carry trade in a contango market: buy the underlying asset and sell a futures contract. It compares a nearer contract with a higher annualized yield against a later contract that may offer a larger absolute basis. The trader…
The discussion considers how to price same-day-expiry options on futures across equity indexes, energy commodities, and Treasury markets. The response says many futures options are European and can be priced with Black–Scholes, while some contracts are…
The document describes a global equity portfolio hedged with short benchmark futures using beta estimated from a trailing year of volatility data. The investor observes that beta rose during a market crash, leaving the hedge short of the portfolio's losses,…
The note asks whether a forward price equals a futures price when the contracts share a maturity and the market has no dividends, constant interest rates, and no arbitrage. The answer derives the standard cost-of-carry relationship: the delivery price is…
The document clarifies how a bond futures conversion factor relates the futures price to the cheapest-to-deliver bond at delivery. When the delivery basis has converged, the futures price at delivery equals the CTD bond price divided by its conversion…
The document collects suggestions for software and services that can be used to backtest investment strategies. The examples span a mobile portfolio tool, a Python framework, a form based service, standalone engines, and a brokerage platform with strategy…
The document considers how to display an S&P 500 futures moving average as a comparable reference level on a Nasdaq futures chart. A direct price-ratio adjustment is proposed by the questioner but is reported not to work as intended. The answer instead…
The document proposes a repeatable way to identify liquid futures markets for research or systematic trend following. Rather than starting from a narrow published index or trying to query every contract through a terminal, it suggests parsing exchange…
The document explains how market-implied probabilities for Federal Reserve rate hikes can be estimated from fed funds futures. Under a simplified assumption that only two outcomes are plausible, the expected rate increase embedded in futures prices can be…
To estimate the implied repo rate for a bond that has not yet been issued, the document recommends specifying its coupon and yield. Its issue date and maturity are treated as known; after the coupon and yield assumptions are set, the implied repo can be…