A Practitioner’s Guide to Three-Month SOFR Futures Contract Notional
We have noted that the risk of a SR3 contract is defined by the IMM Index in terms of DV01 as $25 per basis point per contract. The heuristic notional…
We have noted that the risk of a SR3 contract is defined by the IMM Index in terms of DV01 as $25 per basis point per contract. The heuristic notional…
On their last day of trading (i.e., their expiration date), these options are marked against the settlement price of their underlying futures at 2:00 p.m. CT. The futures settlement is…