Chapter 10: Futures

10.1 PLUGIN

Hedging with Futures

Strategy 10.1: Basis convergence trade between spot and futures

futures hedging

10.1.1 PLUGIN

Cross-Hedging

Strategy 10.1.1: Cross-hedge basis divergence with correlated futures

futures hedging

10.1.2 PLUGIN

Interest Rate Hedging

Strategy 10.1.2: Duration-adjusted basis trade on interest-rate futures

futures hedging

10.2 PLUGIN

Calendar Spread

Strategy 10.2: Calendar spread mean-reversion on near vs deferred futures

futures relative value

10.3 PLUGIN

Contrarian Trading

Strategy 10.3: Cross-sectional contrarian weights on futures

futures mean reversion

10.3.1 PLUGIN

Contrarian Market Activity

Strategy 10.3.1: Volume/OI-filtered contrarian on futures

futures mean reversion

10.4 PLUGIN

Trend Following

Strategy 10.4: Volatility-adjusted trend-following on futures

futures momentum