Deep Dives
Deep Dives
Deep Dives is for readers who know how margin and contango work and want the machinery underneath: the theory of storage and convenience yield, why Treasury futures track a cheapest-to-deliver bond, how SOFR futures encode the market's rate expectations, how commodity indexes roll and what that costs, how exchanges compute margin with SPAN, and how physical delivery actually happens. Each piece goes a level further than the matching Basics or Markets article, with worked numbers and the original research and rulebooks named.
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Futures Term Structure in Depth: Theory of Storage, Convenience Yield, and Normal Backwardation
Why commodity futures curves slope the way they do: the theory of storage, convenience yield, Keynes's normal backwardation, and what Gorton, Hayashi and Rouwenhorst found about inventories.
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Treasury Futures and the Cheapest-to-Deliver: Conversion Factors, Basis, and Implied Repo
How CBOT Treasury futures are delivered: conversion factors, gross and net basis, implied repo rate, the delivery options, and a worked cheapest-to-deliver calculation.
Read the explainer →SOFR Futures and Rate Expectations: Implied Rates, Meeting Probabilities, and CORRA Futures
How one-month and three-month SOFR futures settle, how to back out implied policy paths and FOMC meeting probabilities step by step, and how Montreal Exchange CORRA futures differ.
Read the explainer →Commodity Index Investing: S&P GSCI and BCOM Methodology, Roll Yield, and the Evidence
How commodity index funds work: S&P GSCI and Bloomberg Commodity Index rules, spot vs roll vs collateral return, Gorton and Rouwenhorst vs Erb and Harvey, and the 2000s index boom.
Read the explainer →Cash-and-Carry and the Implied Repo Rate: Carry Arbitrage in Index, Gold and Treasury Futures
How professionals turn a futures price into an implied financing rate, worked for S&P 500, gold and Treasury futures, and why the arbitrage that should enforce fair value is never perfect.
Read the explainer →Crack and Crush Spreads in Depth: Refinery and Soybean Processing Margins in Futures
The 3-2-1 crack and the soybean board crush worked per barrel, per bushel and per contract set, with EIA and USDA data, how the real margin differs, listed spread products and margin credits.
Read the explainer →Seasonality in Commodity Futures: What the Evidence Says About Natural Gas, Gasoline and Grains
Why commodity prices have seasons, how futures curves already price them in, and what EIA data and academic research show about seasonal returns, including where the patterns fail.
Read the explainer →Time Series Momentum Explained: Signal Construction, Volatility Scaling and the Evidence
How time series momentum works in futures: the Moskowitz, Ooi and Pedersen signal, volatility scaling with a worked example, a century of evidence, crisis performance, critiques and weak periods.
Read the explainer →SPAN and Futures Margin Models: Scanning Ranges, Spread Charges, and SPAN 2
How CME's SPAN model turns 16 risk scenarios into a margin number, how spread charges and credits work, how margin levels are set, and what SPAN 2 changes.
Read the explainer →VIX Futures Explained: Contract Specs, SOQ Settlement, Term Structure and Roll Yield
How Cboe VIX futures work: the $1,000 multiplier, the Wednesday expiry rule, the special opening quotation, why the curve sits in contango, and how VIX ETPs lose to the roll.
Read the explainer →Natural Gas Futures in Depth: Henry Hub, the Storage Report, Winter Risk and LNG
How NYMEX Henry Hub natural gas futures work, how EIA's weekly storage estimate is built, why winter makes gas so volatile, and how LNG exports and 2022 reshaped the market.
Read the explainer →Physical Delivery in Depth: Shipping Certificates, Warrants, EFPs and the Delivery Notice Process
How futures delivery really works: CBOT's three-day notice process, corn shipping certificates and invoices, COMEX gold warrants, CME Rule 538 EFPs, and why few contracts deliver.
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