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I don’t understand anything (c) “The investigation was conducted by koloboks”


Why is the contango of the one-day dollar futures practically the same as that of the Si-6.22? What is the point in buying it if the settlement price will still be equal to USDRUBTOM, and Swap Rate>0?

For reference from the specification:

1.1.1.1. During the evening clearing session:

WMO=Round((RCtTso) * W / R – SwapRate* Lot, 2)

TDC=Round((RCtRCp) * W / R – SwapRate * Lot, 2)

SwapRate = Round(SwapTodTom / N1 * N2, 4)

VMO – variation margin under the Contract, for which the variation margin was not previously calculated;

VMT – variation margin under the Contract, for which the variation margin was calculated earlier;

Tso – the price of concluding the Contract;

РЦт – current Settlement Price of the Contract;

РЦп – the previous Settlement Price of the Contract;

SwapTodTom – the weighted average value of the swap difference on swap TODTOM transactions of the underlying asset of the Contract for the current trading day, published on the Exchange website[1];

Round is a function of mathematical rounding with a given accuracy;

None – the number of calendar days between the dates of the first and second parts of the TODTOM swap of the underlying asset of the Contract on the Exchange’s currency market on the day of calculating the variation margin;

N2 – the number of calendar days between the dates of the first and second parts of the TOMSPT swap of the underlying asset of the Contract on the Exchange’s currency market on the day of calculating the variation margin;

Lot — contract lot;

W is the cost of the minimum price step;

R is the minimum price step.


[1] If there is no TODTOM swap difference value on the day of the variation margin calculation, then the SwapRate takes the value equal to zero.

My profession is a journalist, but my hobby for 8 years has been studying Forex investing and trading. During this time, I managed to gain extensive experience in investing and trading cryptocurrencies and double my capital in the Forex market. To be the author of this magazine, the site owners invited me to participate in one of the 2020 trading webinars, and I will try to reveal the most relevant crypto market news for you.

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