Futures bonding - finding seams - page 5
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Why not just consider a gap? An extra gap every 3 months will not hurt anything, imho.
Since the futures cannot be transferred to another futures...
Since the futures cannot be transferred to another futures...
I don't get it. Why can't you do that? The liquidity after the previous one closes is about the same.
I don't actually glue, but test-adjust on consecutive 3-month intervals.
And in general, you can simply subtract the seller's premium from the futures price. All you have to do is substitute the number of days to expiration and the refinancing rate.
I don't get it. Why can't it be done? The liquidity after the previous one closes is about the same.
I don't actually glue, I test and tune on consecutive 3 month intervals.
And in general, you can simply subtract the seller's premium from the futures price. All you have to do is substitute the number of days to expiration and the refinancing rate.
Then I don't understand you - if the futures expire, how do you want to roll it over without opening a new one?
Have you yourself tried to recalculate futures of different expiration dates so that they have similar quotes?
Then I don't understand you - if the futures expire, how do you want to move them without opening a new one?
Have you tried to recalculate futures of different expiry dates so that they have similar quotes?
Futures price = BA price*100 + seller's premium.
Seller's premium = f(BA price, Days to maturity, refinancing rate); The formula is everywhere, if you can't find it, I'll look for it.
Excluding possible contango and backwardation, if they are different for different expiry dates, everything should add up. We may consider that we continue trading the same futures.
And if we glue directly, 1 gap once every 3 months, when we switch to the next futures, it will not significantly affect any tests. So what is a gap of about 2%? We see bigger ones in the morning on a regular basis).
We are talking about testing, aren't we? No?
Futures price = BA price*100 + seller's premium.
Seller's premium = f(BA price, Days to expiry, refinancing rate); The formula is everywhere, if you cannot find it, I will look for it.
Excluding possible contango and backwardation, if they are different for different expiry dates, everything should add up. We may consider that we continue trading the same futures.
And if we glue directly, 1 gap once every 3 months, when moving to the next futures, will not significantly affect any tests. So what is a gap of about 2%? We see bigger ones in the morning on a regular basis).
We are talking about testing, aren't we? No?
Yes about the theory of course everyone knows - I was wondering whether it was tested or not, as there are thoughts about arbitrage... But it is not clear to me, if the remaining days in hours or minutes should be taken into account, to talk about clearing the futures from the interest rate.
In my case the gaps were giving a lot of extra profit - I do my TS on minutes.
Of course everyone knows about the theory - I wanted to know if it has been tested or not, because there are thoughts about arbitrage... I don't know if I need to take into account the remaining days in hours or minutes to talk about clearing the futures from the interest rate.
In my case gaps were giving a lot of extra profit - I'm TC on minutes.
No, you have to consider only days. During the day the premium is constant.
But, in general, imho, these things are better (cheaper and more profitable and quieter) to do on options.
In my case gaps gave a lot of extra profit - I'm doing my TS on minutes.
No, you only have to consider the days. During the day, the premium is constant.
But in general, imho, it is better (cheaper and more profitable) to do these things on options.
If everyone counts by days, then the first hour should adjust the delta between yesterday's and today's rates, according to the idea...
Options is a very interesting topic, I've been wanting to calculate many ideas for a long time - I was waiting until I could upload my charts to MT5, but now ATS for futures has appeared - I decided to saw it out.
If everyone counts by days, then on the first hour the delta between yesterday's and today's rates should settle, according to the idea...
Options is a very interesting topic, I've been wanting to calculate many ideas for a long time - I was waiting until I could load my charts into MT5, but now ATS for futures appeared - I decided to saw it out.
I may change the rate not in the morning, but I will not say for sure. I was once interested in this question in connection with options.
Quickquick has a good options board and import into Excel. In Excel everything is counted by options.
It is possible that the rate changes in the evening rather than in the morning, but I can't say for sure. I was once interested in this question in connection with options.
Quickquick has a good options board and imports into Excel. In Excel everything is calculated by options.
Of course I count in Excel as well, but it is difficult to go through different options there...
I am interested to learn how to catch delays in options on strong movements - they may occur - the nature is not clear to me yet. Maybe there is no movement in false-breakdown...
Of course, I also count in Excel, but it is difficult to go through the different options there...
I am interested to learn how to catch delays in options on strong movements - they happen - the nature of them is not clear to me yet. Maybe there is no movement in a false-break...
There is no movement. The price is not determined by the theoretical one, but by the last trade and the option stack. And who would trade an option on a breakdown).
And delays are only determined by trades and the put. Sometimes you can buy and sell very profitably. With options there is no need to make any fuss at all.