The CME Group Risk Management Handbook: Products and Applications

Prologue by Terry Duffy.

Acknowledgments.

Introduction by Craig S. Donohue.

Chapter 1 Futures Market Fundamentals.

What Is a Futures Contract?

Overview of Popular Financial Futures Contracts.

Anatomy of a Futures Transaction.

Conclusion.

Notes.

Chapter 2 Order Entry and Execution Methodologies.

Open Outcry or Pit Trading.

Introduction of the CME Globex Platform.

Trade Matching Algorithms.

About Options Markets.

Ex-Pit Trading.

Conclusion.

Notes.

Chapter 3 Role of the Clearinghouse.

Financial Safeguards.

Financial Surveillance.

Default by a Clearing Member.

Resources Backing CME Group Clearing System.

Customer Protection.

Disaster Recovery and Business Continuity.

Rule Enforcement.

Financial and Regulatory Information Sharing.

Conclusion.

Chapter 4 Currency Futures: The First Financial Futures.

Evolution of Foreign Exchange Marketplace.

Over-the-Counter Currency Trading Vehicles.

Exchange-Traded Currency Futures and Options.

Foreign Exchange Market Growth and Trends.

Conclusion.

Notes.

Chapter 5 Stock Index Futures: The First Financial Futures.

Mechanics of Stock Index Futures.

E-Minis versus Exchange-Traded-Funds.

Pricing Stock Index Futures.

Spreading Stock Index Futures.

Hedging with Stock Index Futures.

Portable Alpha Strategies.

Conclusion.

Notes.

Chapter 6 Eurodollar Futures: Interest Rate Market Building Blocks.

Eurodollar Futures Market.

Speculating on Shape of Yield Curve.

Term Treasury/Eurodollar (TED) Spreads with Futures and Options.

Interest Rate Swap Market.

Growing Up Together.

Pricing Relationship.

Hedging Techniques.

Conclusion.

Technical Appendix: Complications and Shortcuts for Pricing and Hedging Swaps.

Notes.

Chapter 7 Understanding U.S. Treasury Futures.

Coupon-Bearing Treasury Securities.

Treasury Futures Delivery Practices.

Measuring Risk of Coupon-Bearing Securities.

Risk Management with Treasury Futures.

Macro Hedging with Treasury Futures.

Trading the Yield Curve with Treasury Futures.

Conclusion.

Notes.

Chapter 8 Commodities: Backbone of the Futures Industry.

What Are Commodities?

Grain Markets.

Livestock Markets.

Energy Products.

Precious Metals.

The Forward Curve.

Intermarket Commodity Spreading.

ClearPort Over-the-Counter Clearing Facility.

Conclusion.

Appendix: Major Commodity Market Specifications.

Chapter 9 Alternative Investment Market fundamentals.

Weather.

Residential Housing Futures.

Economic Indicators.

Conclusion.

Notes.

Chapter 10 Fundamental Market Indicators.

Why These Indicators?

Trading Volumes.

Volatility: Daily Net Change.

Volitility: Daily High-Low Range.

Conclusions.

Appendix: Economic Indicator Descriptions.

Notes.

Chapter 11 Technical Analysis Primer.

Why Technical Analysis?

Interpreting Charts.

Elliot Wave Theory.

Intraday Trading Techniques.

Trend-Following Systems.

Conclusion.

Chapter 12 Fundamentals of Option Markets.

What is an Option?

Mathematical Option Pricing Models.

Historic and Implied Volatilities.

Measuring Option Performance.

Conclusion.

Chapter 13 Option Trading Strategies.

Option Spreads.

Horizontal Spreads.

Diagonal Spreads.

Comparing Verticals, Horizontals, and Diagonals.

Weighted Spreads.

Volatility-Driven Strategies.

Specialty Option Strategies.

Matching Strategy and Forecast.

Conclusion.

Chapter 14 Hedging with Options.

Baseline Futures Hedge.

Buying Protection with Puts.

Yield Enhancement with Calls.

In- and Out-of-the-Money Options.

Matching Strategy with Forecast.

Collar Strategy.

Delta-Neutral Hedge.

Conclusion.

About the Authors and Contributors.

Index.