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 works through FIFO and LIFO lot accounting for a sequence of buys and sells, then marks the remaining position to market. It identifies an error in the initial LIFO calculation: the corrected lot cost basis produces the same total P&L as FIFO,…
The document clarifies how slide or rolldown relates to basis net of carry (BNOC) in a Treasury futures trade based on the cheapest-to-deliver bond. To calculate net basis, the response says to account for all economic effects before delivery, including…
The document defines static arbitrage by whether positions need to be changed after the initial trade. A static arbitrage is established with a portfolio that requires no subsequent rebalancing; an example is trading different-sized futures contracts in…
The document asks whether financial return series are ergodic, whether a statistic can test that property, and whether conclusions depend on sampling frequency. It mentions inspecting the autocorrelation function for decay as an intuitive idea, but does not…
This discussion identifies markets where Asian options may trade actively and where historical prices might be available. It points to options on federal funds futures: because the futures settle against the average effective federal funds rate over a…
An overnight index swap curve is a term structure built from market instruments referencing an overnight rate. The answer explains that curve construction uses instruments such as futures and swaps across maturities to infer discount factors and forward…
The document gives an approximate way to relate SPY price movements to E-mini S&P 500 futures exposure. It states that the cash index level is about ten times the SPY price, while each futures contract gains or loses a fixed dollar amount for each index…
The document explains a bullish flattening view: the trader expects interest rates to fall while the yield curve becomes flatter. A bond implementation is to buy a longer-term bond and short a shorter-term bond. If the positions are not DV01 neutral and…
The document describes two-factor models for electricity and gas futures, with each commodity's forward-price changes represented by volatility loadings on two Brownian shocks. Principal component analysis is used to estimate each market's volatility…
The document addresses an apparent carry mismatch between a bond futures price observed on its last trading day and the cheapest-to-deliver bond’s forward price at the last delivery date. It asks whether the bond forward should instead be valued to the…
The document discusses how to price an equity forward on a dividend-paying stock and why the textbook formula’s single risk-free rate can be ambiguous in practice. One response uses maturity-matched equity repo rates to grow the stock value and discount…
The document addresses how to identify past changes in futures contract tick sizes, which matter when interpreting historical price data and trading costs. Its practical suggestion is to search exchange press releases, where exchanges announce contract…
The document discusses where to obtain historical daily settlement prices for individual VSTOXX futures, prompted by a comparison with freely available VIX futures data. The responses describe several possible sources: Eurex’s data shop, an institutional…
The document checks the gross basis formula for a bond eligible for delivery into a futures contract. It defines gross basis as the bond’s clean price less the futures price multiplied by that bond’s conversion factor. It then asks whether this expression…
The discussion compares ways for a Europe-based high-frequency trader to obtain real-time S&P 500 E-mini futures prices. Responses distinguish retail data services from more expensive institutional arrangements that offer market data and access to points of…
The document considers how to approximate historical duration for bond futures when exchange records of past deliverable baskets are unavailable. The proposed initial proxy uses the on-the-run bond’s duration and conversion factor, but the response…
The document outlines how Eurodollar futures can inform the floating-rate projections used to value a plain vanilla interest rate swap. Futures-implied rates need a convexity adjustment before they are treated as forward rates, since futures and forward…
The document explains the link between the difference in futures and forward prices and the correlation between an underlying asset's price and interest rates. It asks whether negative rate correlation for stocks or bonds would make forwards more expensive…
The document considers how to express a long Mexican peso versus Japanese yen position using separate currency futures. It compares the dollar-equivalent notionals of two yen contracts and one peso contract, then asks whether the proposed direction is to…
The scenario pairs a long gold spot position with a short deferred futures contract entered at a higher price. Although the futures premium may appear to offer a locked-in gain, a rise in gold prices creates losses on the short futures position while the…
The document explains how leveraged futures positions are closed when a trader’s margin cannot cover the losses, focusing on the difference between broker-backed conventional markets and crypto exchanges with limited-liability accounts. It uses a…
The document asks whether liquidity suppliers can determine who initiated trades from Nasdaq ITCH data. The accepted answer says ITCH exposes match numbers and displayed-order reference numbers, but no buyer-side identity. These fields support trade…
The document explains why operating a gas-fired power plant creates exposure that resembles being long electricity and short natural gas. The plant’s gross margin depends on the electricity price received minus the fuel and emissions costs, adjusted for…
The document asks how a market maker might hedge a short position in down-and-in Bitcoin puts. Its answer contrasts these barrier options with vanilla puts and gives two possible risk-management actions: use Bitcoin-dollar perpetual swaps or dated futures to…