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 explains why a short position’s compounded return can differ in magnitude from a long position’s return, even though the profit and loss on a matched long and short exposure are equal and opposite. It distinguishes a simple short in a future from a…
The document explains how to relate an option on a delivery-date futures contract to a Black-76 valuation using a different futures contract associated with the option's expiry. Under deterministic rates and basis, it expresses the delivery-date futures…
This document explains what the iborStartDate argument represents in QuantLib’s FuturesRateHelper. It is the start date of the interest-rate fixing’s underlying accrual period, rather than the futures contract’s expiration date. The fixing itself is for a…
The document distinguishes futures contracts whose prices are constrained by arbitrage from those whose prices are harder to model. For a storable commodity with an observable spot price and no convenience yield, the cost-of-carry relationship can determine…
The document considers execution for a liquid-futures strategy that generates hourly signals and initially rests a limit order before switching to a market order. The trader reports substantial slippage and asks how to improve waiting times, limit prices,…
The document asks why a Treasury futures hedge ratio based on portfolio and cheapest-to-deliver bond basis-point values is scaled by the futures conversion factor. The question contrasts a face-value comparison—where contracts appear to deliver a fixed…
The document asks for published economics or finance research using a bivariate vector autoregression to study Granger causality. The response offers two examples from petroleum futures markets: one examines whether speculators influence crude oil futures…
The document explains why the Brazilian Ibovespa futures and Mini Ibovespa futures can track the same index while having different contract values. Their quoted index movement is translated into profit and loss using a point value: the full-size contract has…
The document considers which interest-rate maturities are appropriate when calculating the rate differential for AUDUSD, using a one-month currency futures contract as its example. It distinguishes the question of which maturity to select from the practical…
The document explains a basic manual market-making approach in index futures: quote both bid and ask, attempt to earn the spread, and manage an unbalanced position after one side fills. If a trader sells to a buyer at the ask and the market moves higher…
The document surveys sources for identifying derivatives by ISIN and explains why coverage is uneven. In the European Union, ESMA's FIRDS database provides a large, downloadable collection of instruments reported under applicable rules, including…
The document describes an application of a multivariate GARCH-BEKK model to spot and futures price returns. It presents estimated model parameters and asks how to derive the conditional variance and covariance matrix from them. The stated hedge ratio is the…
The document considers how to hedge an 11-year off-the-run Treasury bond when direct access is limited to on-the-run securities. Its practical suggestion is to use the Treasury futures contract with duration closest to the bond and determine an appropriate…
The document discusses monthly rebalancing of commodity futures portfolios amid seasonal liquidity patterns and market microstructure effects. It argues that there is no universally suitable point in each month for rebalancing and suggests avoiding periods…
The document distinguishes avoiding a risk from transferring it. Avoidance means choosing not to take on the exposure, such as declining an investment; transfer means accepting the exposure while using a hedge or insurance-like instrument to offset its…
The document considers early exercise of American options on Treasury futures. One standard argument is that an American call without an underlying cash-flow benefit has no reason to be exercised early, while American puts require a more involved…
The document examines interest-rate sensitivity for an option on a futures contract when the option and futures use futures-style settlement. It uses the Black 76 call-pricing expression, in which the option value is discounted by the risk-free rate while…
The note explains a futures-based method for separating an unexpected policy-rate change from the expected component. The cited approach uses the change in the rate implied by a current-month federal funds futures contract around the policy event, scaled to…
The note addresses which interest rate to use when evaluating stock index futures arbitrage. It recommends matching the financing rate to the expected life of the trade, typically the time remaining until futures expiry at the outset, because the…
The document considers whether a holder of bitcoin can mimic put-option protection by shorting CME bitcoin futures above a chosen price and returning to a neutral position when the price crosses that threshold. The motivation is concern that a rising market…
The document proposes estimating a Treasury bond futures price from a selected Treasury bond’s cash price and the conversion factor for the cheapest-to-deliver bond. It suggests dividing the bond price by that factor, then comparing the estimate with the…
The document explains the arbitrage argument behind a proof that forward and futures prices are equal under a constant interest rate. The proof compares two strategies that produce the same final capital. If their initial costs differ, an investor can take…
The document clarifies the distinction between daily futures accounting and final settlement. Futures are settled at expiry, while their positions are marked to market each day. The daily mark to market changes the balance in the trader’s margin account,…
The document sets up a small Treasury futures example to investigate whether parallel yield curve shifts can change which bond is cheapest to deliver. It uses two hypothetical deliverable bonds, prices them from a shifted curve, applies conversion factors,…