In this post, we will be comparing the Futures vs Spot Prices for WTI Crude Oil, i.e., the WTI Futures series with the WTI Spot series. The futures prices generally show high volatility and they are more volatile than the underlying spot price. For this purpose, it would be interesting to compare future and spot […]

# Derivatives

## R Visualization of Statistical Properties of Future Prices

Future contracts have some particular properties that make them a special assets class. In this article, we will learn about these statistical properties by visualizing them in R. Futures Prices have High Volatility and Distribution with Leptokurtic Shape First of all future contracts are well known for their higher volatility. The price distribution of future […]

## Exploring Crude Oil (CL) Future Data from Quandl in R

It would be useful to download a dataset of historical future contract prices and explore it using R programming language. For this purpose we will load the futures historical data of Crude Oil (CME_CL1) from the CHRIS database of Quandl. The nomenclature to download futures data from Quandl is the following: CHRIS/{EXCHANGE}_{CODE}{NUMBER} CHRIS refers to […]

## How to Create Futures Continuous Series

Futures Contracts A future contract is a standardized contract with precisely specified contract terms. This contract is transacted between a purchaser and a seller. The purchaser of the future contract will receive the delivery of the goods and pay for it, while the seller of the futures contract is obligated to deliver the goods and […]

## Overview of Derivatives with R Tutorial

This tutorial on derivatives with R provides a conceptual and practical guide to analyzing derivatives instruments such as Futures Contracts and Options using the R programming language. The tutorial has a well balanced structure between theoretical concepts and practical examples and aims to show important properties of derivatives instruments using R. The first part of […]

## Settlement Price of Futures Contracts

While looking at the historical price dataset of a Futures contract, you will see some important columns such as Open, High, Low, Last, Change, Settle, Volume, and Previous Open Day Interest for each trading day. The Last column is the price of the last trade on the day. The Settle column shows the settlement price […]

## New Online Course – Derivatives

We are pleased to announce the addition of a new course – Derivatives – to our library of courses for Finance Professionals. Course: Derivatives Understand various derivative instruments (forwards, futures, options, and swaps), derivative markets, and the use of options in risk management. Derivatives are financial instruments that derive their value from the value of […]

## Trading CFDs Online – The Advantages

What they are Contracts for Differences (CFDs) are a powerful form of derivative that allow traders to take advantage of movements in the price of an underlying asset. The instruments that can be traded through the CFDs can range from stocks (and market indexes) to commodities and many products in between. With CFDs, traders can […]

## Stocks – Contracts for Difference

In his book Accounting for Investments, Equities and Options R. Venkata Subramani states that “A contract for Difference (CFD) is a contract between two parties – buyer and seller – stipulating that the seller will pay to the buyer the difference between the current value of an underlying equity share and its value at expiry date […]

## Options, Futures, and Other Derivatives (9th Edition) – Book Review

Options, Futures, and Other Derivatives by John C Hull covers derivative markets and risk management. Readers are expected to know basic finance, probability and statistics. A novice to options, futures, contracts and swaps will be hand held through the concepts by the author. The author has also tried to maintain a delicate balance with regards […]