Futures and
Option Market Information
and Option Model Inputs by Underlying [almost
all are $
pricing]
(Wall Street Journal print edition index items, and web page
sources.)
To start on derivatives, futures exchange contract symbols are defined in the following web sites: CMEGroup Codes, Quote.com futures contract symbol help, commodity Quote.com futures (e.g. SPH2), Barchart.com symbols by exchange, and Commodity Systems, Inc. contract symbols. (Yahoo individual U.S. and Canadian stocks (choose options for each stock), Option Industry Council symbols, Yahoo maturity and strike price codes.)PricesFutures maturity codes are the following:
F - January
G - February
H - March
J - April
K - May
M - June
N - July
Q - August
U - September
V - October
X - November
Z - December
CMEGROUP Standard Portfolio Analysis of Risk (SPAN) For Calculating Margin Requirements/Performance Bonds, Trading Fees, and Price Limits.
CME Settlement Price Calculation - Rule 813Short-term Interest Rates
General market index pages FT-US, WSJ (subscription required for some items, link to student subscriptions - 10 weeks or 15 weeks).
Currently a good source is http://data.tradingcharts.com. For S&P 500 futures and options the urls a/o YYYY-MM-DD:
http://data.tradingcharts.com/futures/quotes/SP.html
http://data.tradingcharts.com/futures/calls/spMY_YYYY-MM-DD.html
http://data.tradingcharts.com/futures/puts/spMY_YYYY-MM-DD.html
Summary access pages for futures and options contract settlement prices are in Wall Street Journal (WSJ Commodity Page), Yahoo Options, Commodity World under "Charts" or "Prices." Direct links include the following: FutureSource, ProphetFinance, InfinityTrading and Market Hotline a daily E-mail service.
Other web-based financial price information pages include INO.com, Quote.Com (stocks and stock options, index and commodity futures), Commodity Reseach Bureau Trader, UBS Quotes, Cleartrade, Yahoo Financial page (not commodity underlying) and Yahoo historical data table S&P 500 (^SPC) example, Options Clearing Corp., CME daily bulletins. Futures and futures options coverage is getting more limited on the free services, and derivatives on many underlying are not actively traded through futures exchanges. Instead, brokers such as GFI Group and Interactive Brokers are the major sites for trading, Forex Brokers List. The Office for Futures and Options Research-University of Illinois at Urbana-Champaign provides useful links.
Some short-term interest rate (cost of funds or funding rate) information may be found on a BanxQuote, Bloomberg U.S. gov't, Bloomberg rates, Briefing.com, or class documentation.) Foreign rate sources include Financial Times (Bonds and Rates Category and either international money market rates (S/T) and interest rate swaps (L/T)) Report, and the Bloomberg terminal international swap rates (example) with links. Fed H15 histories.
Forecast
Information
Forecasts.org (is a neural net-based
service) provides direction and range forecasts. Both
Bank of
NY-Mellon and
PNC have FX forecasts, and dailyfx has
qualitative FX forecasts.
The American Economic Association resource RFE.org
provides an annotated listing.
, Economy.com (Dismal
Scientist) International
Monetary Fund, NY Fed, Philadelphia Fed,
Briefing.com. Newsletters are also available (often free on a trial basis.) Though most
focus on underlying price (direction) forecasts, more and more are addressing
options. Coffee
example.
Underlying Risks
The sections below describes contract
specifications for particular underlying risks.
Associated web sites are listed at the bottom of each underlying section.
Click for the following underlying: Currency, Equity Index,
Bond, Interest
Rates or Commodity.
Cost of funds - Money Market - Late London Eurodollar bid-ask average. (FT)
Futures price - Commodity - Futures - Currency (CME) WSJ Prices
Futures maturity - The third Wednesday of the expiration month.
Futures option price - Usually on page following futures. (CME), WSJ Prices
or Bloomberg example page - instruction line is SSMY <Curncy> OCm <GO>
(e.g. SS=BP, M=H for March, and Y=8 for 1998 or SSMY as BPH8.)
Futures option maturity - mature two Fridays before the third of the month.
Volatility - Imply from option price quotes and/or from historical data. E.g. Bloomberg
Spot price - Foreign Exchange - Currency Trading - Exchange Rates. FT prices, FT $ Forwards, WSJ prices, fxhistory.com from 1971
Spot option price - Foreign Exchange - Currency Trading -Exchange Rates (Philadelphia Exchange) Mature on the Friday before the third Wednesday of the month.
Current yield - The current yield on the currency may be determined by the standard futures-forward to spot relation (alternatively, the foreign currency Eurorate may be used -- but not found in WSJ).
Web pages Click for CME FX, (and select currency) choose prices and/or contract specifications, and pdf daily bulletins over last few months, CME Product Calendars
old links to be updated ...
CME historical quotes (daily bulletins), CME Japanese yen, CME Margin, CME Overview, CME expiration calendar, BM&F (Brazil), BM&F (Brazil) contracts, Some FX Forecasts, UBS Forwards, UBS FX Warrant quotes, RatesFX, Fenics.com - open account, FX histories.
Cost of funds - Money Market - call money or other s/t rate. (FT)
Futures price - Commodity - Futures - Index, S&P 500, S&P 400 mid-cap,
Nikkei 225, NYSE composite, WSJ Prices U.S., WSJ Prices non-U.S. CME Daily Price Limits
Futures maturity - The third Thursday of contract month.
Futures option price - Usually on page following futures - Index, WSJ Prices
Bloomberg example page - instruction line is SSMY <Equity> OCm <GO>
(e.g. SS=ND, M=M for June, and Y=7 for 1997 or SSMY as NDM7.)
Futures option maturity - With the Mar, Jun, Sep and Dec futures, otherwise on third Friday.
Volatility - Imply from option price quotes and/or from historical data. E.g. Bloomberg
Traded on the CBOE among Broad-Based Indices, (S&P 500-VIX, Nasdaq 100-VXN),
and QuoteTable for pricing
Spot - Markets Diary (page C1) and Stock Market Data Bank (usually page C2). Index options - "ranges for underlying indexes".
NYSE Price Limits
Spot option price - Index options - WSJ, CBOE S&P 100 and Dow Jones, PHLX sectors, NYSEArca,
Major Markets mature third Friday of contract month.
Individual Stock Options - CBOE, AMEX (SPY-Spider ETF) , PHLX,
Bloomberg symbols are stock ticker+MX, with M indicating maturity code and X
indicating strike/exercise price, i.e. IBM July 115 calls as IBM+GC.
Bloomberg screens are description (OTD), Trade Recap (QRO), Most Active (OMST),
Trade Summary Matrix (TSM), Net Option Values (OVME), and Price History and Graph (GPO).
Current yield - Dividend yield, approximately dividend/price. Easiest to infer from standard futures-forward to spot relation.
S&P 500 Futures Contract Portfolio Equivalent Calculation, S&P (and other) Index Value Material, S&P Indices
Web pages - Click for CME Indices, (and select currency) choose prices and/or contract specifications, and pdf daily bulletins over last few months, CME Product CalendarsCME S&P 500 futures (specifications), CME S&P 500 time & sales, S&P 500 (SPM0) options (other maturity access on futures page) (specifications)
old links to be updated ...
Click for CBOT Dow Jones (DJ) Index futures (DJ index), CME overview, CME rulebook, CME daily settlement prices, CME historical quotes (daily bulletins), CME Performance Bonds/Margin, CME index contracts, CME expiration calendar, Yahoo Finance S&P500 Index, CME Nasdaq 100 futures, CME Nasdaq 100 time & sales, CME Nasdaq 100 futures options, CME Nasdaq 100 Options time & sales, CBOE Index Options, CBOE Equity Option Calculator, CBOE Index Option Specifications, CBOE Index Symbols, CBOE S&P 500 options and underlying (enter spx lhs and rhs, resp.), CBOE S&P 100 options and underlying (enter oex lhs and rhs, resp.), CBOE Dow-Jones 30 options and underlying (enter djx lhs and rhs, resp.), CBOE Nasdaq 100 options and underlying (enter ndx lhs and rhs, resp.), CBOE volatility underlying (enter S&P500-vix or Nasdaq 100-VXN on lhs), CBOE full symbol .csv file, BM&F (Brazil), BM&F (Brazil) contracts, Hang Seng Index Futures and Options
Cost of funds - Money Market - Fed funds (repo is better, but not in WSJ). (FT)
Futures price (rate) - Commodity - Futures - Interest Rates as price of 100 - futures (implied) rate. (IMM) Eurodollars mature second london business day preceding third Wednesday of contract month. WSJ Prices
U.S. Treas. 30y bond, 10y note, 5y note, 2 yr. note, bills, Muni bond, WSJ Prices-Americas
U.K. long Gilt, German Gov't. bond (Bund), Italian Gov't. Bond., WSJ Prices-Europe
Aussie and Japan bonds WSJ Prices-Asia
Liffe Sterling EuroDM, EuroSwiss and Sterling mature on third Wednesday of contract month
Bond Futures "Underlying" or Deliverable Bond - each futures contract permits the seller deliver one of a
set of "deliverable" bonds. These bonds have maturities close to the stated underlying maturity. The deliverable amount of each bond is calculated by a price-factor formula, and the seller will deliver the "cheapest-to-deliver" bond at contract maturity. CBOT notes on yields, prices and delivery conversion factors, and cheapest to deliver formula.
Bond Futures Maturities vary, with U.S. Treas. notes and bonds as follows: Between the first (notice) and last (final delivery) business day of the delivery month. The last trading day is the seventh business day preceding the last business day of the delivery month. I suggest using the first business day of the delivery month. U.K Gilt maturity is two bus. days before last bus. day of month, and German Bund maturity is 10th day of contract month.
Futures option price - Usually on page following futures - Interest Rates. WSJ prices.
Mature with the futures contract.
Bloomberg example page - instruction line is SSMY <Comdty> OCm <GO>
(e.g. SS=ED, M=M for June, and Y=7 for 1997 or SSMY as EDM7.)
Usually page following futures prices. U.S. Treas.bonds and notes, muni bond, long Gilt. WSJ Prices
Bloomberg example page - instruction line is SSMY <Comdty> OCm <GO>
(e.g. SS=ND, M=M for June, and Y=7 for 1997 or SSMY as NDM7.)
Bond Futures option maturity - U.S. options mature five business days prior to the first business day of the contract month. E.g. an option on the December futures expires at the end of November.
Volatility - Imply from option price quotes and/or from historical data. E.g. Bloomberg
Spot (forward) rate - Use Money Market rates and/or implied Eurodollar futures rates to calculate forward rate from option maturity to rate tenor.
Bond Spot price - Bond data bank or Treas./Govt Issues, foreign bonds (WSJ U.S., WSJ Intl, FT Gov, FT Global_Inv. Grade, FT int'l, FT emerging market, WSJ Bonds Indices)
Bond Current yield - Calculated approximately as coupon/all-in price with all-in price equaling quoted price plus accrued. Rate current yield - Zero.
Web pages - CME Interest Rates, (and select currency) choose prices and/or contract specifications, and pdf daily bulletins over last few months, CME Product Calendars
old links to be updated ...
CMEGroup Daily Bulletins with Settlement Prices (some history), CME quotes, CME historical quotes (daily bulletins), CME Eurodollar quotes, CME Eurodollar Option quotes, British Bankers' Associatiom (BBA), Eurodollar BBA-fixing settlement, CME Margin, CME contract specifications, CME expiration calendar, BM&F (Brazil), BM&F (Brazil) quotes. Bonds - CME historical quotes (daily bulletins), CBOT contract specifications, CBOT glossary, CBOT futures quotes, CBOT futures quotes, For CBOT options, click on inverted horseshoe icon, CBOT volatilities are in futures pages, BM&F (Brazil)
Cost of funds - Money Market - Late London Eurodollar or other rate reflecting commodity carry costs. (FT)
Futures price - Commodities - Futures prices - grains (WSJ oats-corn-rice, WSJ wheat), oilseeds (WSJ), livestock and meat (WSJ), food and fiber (WSJ), metals (WSJ), lumber (WSJ), electricity (WSJ) petroleum (WSJ), and weather (WSJ).
Futures maturity - Maturities vary: crude oil - third business day prior to 25th calendar day of month preceding delivery month, gas and heating oil - last business day of month preceding delivery month, gold - third to last business day of delivery month. Agricultural commodiy first delivery day is the first business day of the month (first notice is the business day before), and the final trading day is the 15th with last delivery seven days later.
Futures option prices - Usually on page following futures prices: agricultural (WSJ), oil (WSJ), livestock (WSJ), metals (WSJ) and other options (WSJ).
Bloomberg example page - instruction line is SSMY <Comdty> OCm <GO>
(e.g. SS=CL, M=M for June, and Y=7 for 1997 or SSMY as CLM7.)
Futures options maturity - Maturities vary: crude oil, gas and heating oil - Friday before futures maturity, gold - second Friday in month preceding delivery month, etc.
Volatility - Imply from option price quotes and/or from historical data. E.g. Bloomberg
Current yield - The current yield on the commodity may be determined by the standard futures-forward to spot relation (and includes the convenience yield).
Spot price - Usually on or on page following futures prices.
Web pages -
General - ManFutures calendar, Commodity World quote links,
Commodity Systems, Inc. Exchanges and Symbols, Commodity Resource Corp, CME Product Calendars.CMEGroup Commodities (select commodity for pricing and contract specifications),
CMEGroup Energy (select product for pricing and contract specifications),
CMEGroup Metals (select commodity click commodity for pricing and contract specifications),
CMEGroup Weather (select product click commodity for pricing and contract specifications),
CMEGroup Daily Bulletins with Settlement Prices (some history),CME-COMEX gold futures (specs), gold options (specs), silver futures, silver options, copper futures, copper options
Detailed Rules - GC-gold, SI-silver, OG-gold options, SO-silver options
What's a Troy Ounce?
Kitco on COMEX gold, silver and platinum, all charts (including lease rates)old links to be updated ...
NYMEX (Energy and Metals) - Codes, Detailed Rule Book with delivery, etc. (CL 200, NG 220, HO 150, LR 180)
Contract specs - http://www.nymex.com/XX_spec.aspx (where XX is two letter "code"),
for CL-oil, NG-natural gas, HO-heating oil, and LR-gasoline.
Current session quotes (oil, natural gas, heating oil, gasoline),
Previous session quotes (oil, natural gas, heating oil, gasoline), Historical Prices by Product,
Energy Information Administration/DOE Historical Prices, Notes on Jet Fuel-Crude Hedge
COMEX gold futures, gold options, silver futures, silver options, copper futures, copper options
Detailed Rules - GC-gold, SI-silver, OG-gold options, SO-silver options
What's a Troy Ounce?
Kitco on COMEX gold, silver and platinum, all charts (including lease rates)
CME - agricultural contract specs, CME historical quotes (daily bulletins), agricultural margin, expiration calendar, quotes, NYMEX Softs
CME historical quotes (daily bulletins), JSE Physical Delivery Allocation (pdf)
CBOT -contract specifications, glossary, Agricultural futures and options settlement prices, Ag products,
Metal products
ICE-NYBOT (Coffe-Cocoa-Sugar-Cotton) - Pricing Information - Product Guide - End of Day Report (prices - volumes)
Soft Agricularal Futures Prices,
Electricity - PMA Electricity Futures, PJM Interconnection, PJM real-time prices, PJM day-ahead prices,
Natsource Links, Dept of Energy (wholesale price links), Calpx ("It's dead, Jim.")
BM&F (Brazil) - specs, quotes
LME - metals and plastics (PP, PA, ..., LL, LA, ...) (data)