How to read
the futures
pricing tool.

Three steps. Pick a model from the index on the left, or open the palette with Cmd K (Ctrl K on Windows). Fill the ledger — spot, the relevant carry inputs, settlement and expiry — plus the market futures price if you want an implied output. Read the headline, the metrics block, and the sensitivity grid on the right.

The ledger only surfaces inputs the active model uses. Switching from a theoretical to an implied model keeps everything you already typed.

Every input mutates the URL. Copy the address bar to share a setup, or use the permalink button under Model notes.

Inputs are grouped by purpose. The common group applies almost everywhere; asset-class groups appear only when the active model needs them.

Every cost-of-carry model in this tool comes in two flavours. The theoretical leg takes carry inputs and produces a fair-value futures price. The implied leg takes a market futures price and backs out one of the carry inputs.

The implied output is the one a trader actually reads. “The implied dividend yield on the Dec ES future is 1.42%” tells you what consensus thinks dividends will do, in a single number. Same shape for implied repo (financing tightness), implied xccy basis (post-CIP wedge), and implied convenience yield (physical-market scarcity).

The math is direct inversion of the carry equation — no solver needed. Each implied model prints the formula in its Note line so you can sanity-check the arithmetic.

The deliverable basket is pasted as text: one bond per line, coupon, maturity, price. The CF for each is computed from the standard PV-at-notional-yield formula — set the notional coupon to match the contract spec (6% US Treasury, 4% Bund, 3% Gilt, 6% JGB).

Gross basis is cash − futures × CF. Net basis subtracts carry (coupon income to delivery minus financing on the cash leg). Implied repo solves for the financing rate that makes the cash-and-carry trade flat; the maximum across the basket is the cheapest-to-deliver.

The CTD report puts it all in one table, ranked by your chosen criterion, with the switch margin to the runner-up. A small switch margin means the CTD is unstable — even small repo or futures price moves can change which bond delivers, and the futures DV01 inherits that instability.

Futures DV01 is reported as CTD DV01 ÷ CF. Use it as the hedge ratio when trading the basis against cash.

One model, four asset classes. Pick the asset class and the tool uses the right carry formula automatically. Feed it two expiries and (optionally) two market prices, and read the dislocation — market spread minus what carry says the spread should be.

The implied Δ carry shows the differential between the two tenors. For commodities, that's the slope of the convenience curve. For equities, the term structure of the implied dividend. For FX, the curve of the implied xccy basis. The same readout, everywhere.

The full index sits behind the Search models button (Cmd K).

Equity index

Continuous-q and discrete-dividend forwards. Implied dividend yield, implied repo. A basis decomposition that splits the spread into carry vs dividend drag.

FX forwards

CIP forward with optional cross-currency basis. Forward from market swap points. Implied xccy basis. One-line carry & roll readout.

Commodity

Cost of carry with storage (continuous or absolute $/yr) and convenience yield. Implied convenience from a market price. Two-contract roll yield.

Bond futures

Conversion factor table. Gross basis, net basis, implied repo per bond. Full CTD report with switch margin and futures DV01.

Calendar spread

Asset-class-aware. Theoretical spread under the right carry formula, dislocation to market, implied Δ carry across the two tenors.

The URL is the single source of truth for a pricing setup. The model id lives in m, and every input the active model surfaces is serialized as a query parameter. Same URL → same number, anywhere.

The pasted basket and dividend schedule are stored verbatim — they are part of the trade setup, not external data. If your colleague can read the URL, they can rebuild the trade.