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Future CTD Scenario Analysis Enhancement | Weekly Release 6/28/2024

#1: Added “Fair Value” column

 

A column labeled “Fair Value”, which will show “0 NB Px”“Total Opt Value”, has been added to the top table in Future CTD.

 

“0 NB Px” shows 0 NetBasis Price. This price calculates the futures price based off the assumption that the potential CTD will have a zero net basis. In other words, the future price will be driven off the CTD price assuming a zero net basis.

 

“Total Opt Value” shows Total Option Value. This includes the sum of the “Switch Opt Val”, “WC Opt Val 32nd”, and “EoM Opt Value”. Traders have option to include/exclude any of these values by using the corresponding checkboxes.

 


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#2: Added ability to sort delivery basket by maturity date

 

Traders can add “Maturity Date” column to their delivery basket table by clicking “Table” – “Manage Columns”. Add it to “Available Columns” & “Save”.

 

After adding the column, click the “Maturity Date” column header to highlight the column. Then <right-click> to view sorting options. “Sort A to Z” will sort basket by shortest to longest maturities. “Sort Z to A” will sort from longest to shortest. “Undo Sort” will undo sorting.


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