A futures contract is a standardized exchange-traded contract on a currency, a commodity, stock index, a bond etc. (called the underlying asset or just underlying) in which the buyer agrees to purchase the underlying in future at a price agreed today.
Deliverable CGBs Book-entry, fixed-coupon CGBs with an original term to maturity of no more than 7 years and a residual maturity of 4-5.25 years upon the first day of the contract’s expiry month Price Quotation RMB 100 net price Tick Size RMB 0.005 Contract Months The three nearest quar...
"Fair value" refers to the "proper" relationship between the futures and the cash. Through a complex formula using current short term interest rates and the amount of time left until the futures contract expires, one can determine what the spread between the futures and the cash "should" be...
theforwardpriceattimes :theexerciseprice :theforwardcontract’spriceattimes t:thedatethecontractiswritten s:thecurrenttime :thedeliverydatet*)k(t),t*);(p(s,ff(s) )t,p(s*k(t)f(s)*t*t≤s≤tAgeneralforwardcontractformula TheDerivationprocessoftheformulatAlongpositionSAshortpositionThecombined...
Implied Volatility: The overall Implied Volatility for all options for this futures contract. Price Value of Option Point: The intrinsic dollar value of one option point. To calculate the premium of an option in US Dollars, multiply the current price of the option by the option contract's poin...
32K There is a specific formula used to determine the value of futures contracts. Review the definition of futures contracts, mark-to-market, and margin, and learn how pricing is calculated using the valuation formula. Related to this QuestionWhy...
The timing option embedded in a futures contract allows the short position to decide when to deliver the underlying asset during the last month of the contract period. In this paper we derive, within a very general incomplete market framework, an explicit model independent formula for the futures...
The empirical question of whether futures prices are indeed different from equivalent forward prices (where by ‘equivalent’ we mean a forward price for the same commodity deliverable at the same delivery date as the futures contract) has been more vexatious. Empirical research seems to give ...
Fair value can show the difference between the futures price and what it would cost to own all stocks in that index. For example, the formula for the fair value on the S&P futures contract is: FairValue=Cash×{1+r(x/360)}−Dividendswhere:Cash=CurrentS&PCashValuer=Currentinterestratepaid...
To calculate profit and loss in futures trading, you need to consider the difference between the price at which you entered the contract and the price at which you exited or plan to exit it.9 Here's the formula: Profit or Loss = (Exit Price - Entry Price) x Contract Size x Number of...