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 explains why the effective federal funds rate may dip at month-end as well as quarter-end. Its proposed mechanism is that foreign banks face balance-sheet reporting snapshots at month-end, while US banks use daily averages. Foreign banks may…
The document explains that CME security identifiers are unique for a given day but are not guaranteed to remain unique or unchanged across time. It answers two data-management questions: whether an identifier can later refer to a different instrument, and…
The document asks how to find the fair value of a three-month futures contract on a two-stock index when each stock pays a dividend before expiry. The answer gives the cost-of-carry approach: express financing costs and expected dividends in index points,…
The note asks how to take a directional view on volatility while limiting exposure to the underlying’s direction. It points out that straddles, strangles, and iron condors respond to volatility but also carry exposure to other option risk factors, including…
The discussion asks whether U.S. Treasury cash flows should be discounted using SOFR or a security-specific repo curve. One answer emphasizes that Treasuries are liquid and trade at observable market prices, so practitioners generally do not need to infer…
The document compares buying a one-year S&P 500 index future with buying a six-month future and replacing it with another six-month contract at expiry. The question assumes the six-month funding rate stays static and that profit earned during the first…
The document addresses fair value when a futures contract is settled in one currency while its underlying spot price and dividends are quoted in another. Its central principle is to express the cash flows in a consistent currency and use the appropriate…
The document outlines a proposed approach to building a central bank meeting-date curve from overnight indexed swap quotes. It starts with overnight and monthly OIS rates, adjusts them using the spread between the policy target and the effective overnight…
The document explains why a futures contract can have zero value while its quoted futures price changes. Daily mark-to-market settlement credits or debits the trader’s margin account, resetting the contract’s value while transferring each price change as…
The post investigates why annualized GARCH(1,1) volatility forecasts from Python's ARCH package matched observed volatility for a more volatile futures return series but appeared far too high for a less volatile series. The author initially assumed that…
The document examines why the yield inferred from a Treasury note futures contract can differ from the quoted yield on the on-the-run ten-year Treasury, and asks how futures carry affects DV01 calculations. The response attributes the gap to the difference…
The document derives a one-sided probability threshold for a standardized normal variable, using the inverse error function to obtain a value of about 1.28155 for 90% cumulative probability. It then asks whether this threshold, multiplied by daily volatility…
The document explains how the Black formula for a European option on a futures price relates to Black–Scholes pricing. Under risk-neutral pricing, the futures price is modeled as a lognormal process, and the option value is the discounted expected payoff at…
The document reports a stated convention for calculating a three-month realized beta between VIX and the S&P 500. It describes blending first-, second-, and third-month VIX futures to form a three-month volatility measure, using changes in futures levels for…
The document addresses the challenge of obtaining reliable end-of-day historical prices for Indian equities and calculating returns that are not distorted by corporate actions. It identifies the National Stock Exchange as a source of end-of-day and intraday…
The document explains why a futures position’s mark-to-market adjustment is the change in the futures contract’s quoted market price, rather than that change discounted back to the contract’s expiration. The key point is that the contract’s observable…
The document explains the inverse relationship between a bond’s price and its yield, while cautioning against treating one as the sole driver of the other. Price and yield are two ways of expressing the same information about a particular bond: when its…
The document explains how incoming market orders are matched against resting limit orders. Exchanges generally prioritize the best available price, then apply venue-specific tie-break rules. The examples include time priority (FIFO), pro-rata allocation…
The document asks whether to estimate log-return risk for an option on a cash-settled index future using futures prices or the underlying index, and how much history to use. The response focuses on the hedge instrument: because the option exposure is to the…
The question asks whether short-window changes in bond yields can be approximated by dividing bond-futures returns by duration. The response does not derive that relationship or explain how duration maps a futures price move into a yield change. Instead, it…
The document examines whether a systematic risk premium could be eliminated by buying an underlying asset and selling a futures contract, and whether this would imply that expected returns equal the risk-free rate. The accepted response separates this…
The document asks how a U.S. broker handles margin and profits for a Nikkei 225 futures contract denominated in yen when the customer has a U.S. dollar base account. It distinguishes the contract’s currency from the currency in which the broker collects…
The document asks for reference material to help build a backtesting system that models futures and equities realistically. It highlights the need to account for buying power, profit and loss, and margin, including the different conventions that apply to…
The document explains LME prompt dates as the dates on which contracts trade and relates them to the sequence of available contract maturities. It contrasts the usual monthly contract pattern with LME's more frequent dates nearby, followed by weekly and…