Strange, so the settlements are published like: 5300 but market data is published as 0.053, I can't find any detail about why this is done so assume it is convention?
It's an interesting thought, and perhaps true, but it's not clear to me why this should be the case. In my backtests, it's clear that TF did very well in the first 20 years of the futures markets. Perhaps a nascent market allowed for prices to move slowly and predictably. Electronic trading has probably increased faster price moves/whipsaws, but shouldn't we able to show this with the data somehow? Back when interest rates were 5%, CTAs would have earned that 5% on the funds deposited, in addition to any TF returns.
Managers don’t go on the tube unless it’s for commercial advantage — such as lowering customer expectations of future performance.
Hi guys, sorry but I have a noob question. Let's say I'm holding JPY futures expiring in Dec. What exactly do I do on expiry date for rolling? 1) Do I purchase a spread 2) Wait for expiry and delivery then open a new position 3) Just before expiry, roll the position by closing current month and buying next
I do number 4: 4) roll the position over a number of days before expiry day. In case of an instrument with physical delivery: roll the position over a number of days before first notice day. Usually I do this approximately 2 weeks in advance.