Papers, wiki, Option Blackboard, encyclopedia, and cards.
We study the problem of dynamically trading multiple futures contracts with different underlying assets. To capture the joint dynamics of stochastic bases for all traded futures, we propose a new model involving a multi-dimensional scaled Brownian bridge that is stopped before price convergence. This leads to the analysis of the corresponding Hamilton-Jacobi-Bellman (HJB) equations, whose solutions are derived in sem…
VIX term structure tracks the shape of volatility futures across maturities and helps identify whether the market is pricing stable conditions or near-term stress.
VIX Futures Term Structure — Curve shape driving roll yield for vol ETNs and systematic short-vol carry.
Volatility Carry Trade — Selling implied vol or rolling VIX futures in contango — crowded but regime-sensitive.
Crude Oil Contango — Upward-sloping futures curve implying storage economics and weak spot demand.
VIX Contango Roll (Derivatives).
Commodity Roll Yield — P&L from rolling futures along a contango or backwardation curve.
Futures Basis Contango BTC (Crypto).
Futures Basis Contango ETH (Crypto).
Futures Basis Contango SOL (Crypto).
Futures Basis Contango BNB (Crypto).
Futures Basis Contango XRP (Crypto).
Futures Basis Contango perp (Crypto).
Futures Basis Contango spot (Crypto).
Futures Basis Contango options (Crypto).
Futures Basis Contango DeFi (Crypto).
Futures Basis Contango CEX (Crypto).
Futures Basis Contango DEX (Crypto).
Commodity Roll Yield — P&L from rolling futures along a contango or backwardation curve.
Crude Oil Contango — Upward-sloping futures curve implying storage economics and weak spot demand.
Futures Basis Contango BNB (Crypto).
Futures Basis Contango BTC (Crypto).
Futures Basis Contango CEX (Crypto).
Futures Basis Contango DeFi (Crypto).
Futures Basis Contango DEX (Crypto).
Futures Basis Contango ETH (Crypto).
Futures Basis Contango options (Crypto).
Futures Basis Contango perp (Crypto).
Futures Basis Contango SOL (Crypto).
Futures Basis Contango spot (Crypto).
Futures Basis Contango XRP (Crypto).
VIX Contango Roll (Derivatives).
Volatility Carry Trade — Selling implied vol or rolling VIX futures in contango — crowded but regime-sensitive.