Reply To: Futures Cascade

Phil Walsh

I certainly appreciate that for users it is not immediately intuitive to categorise derivatives as Settlement Type = Physical Settlement, and therefore can see the desire to make cascading futures work with Settlement Type = Cash Settlement.

However, before considering whether there are any other specific issues with cascading futures set to Settlement Type = Cash Settlement, how do the users consider options where the underlying is cash settling but the option itself needs to be specified as Physical Settlement, such as listed options or OTC swaptions? If they are happy to consider these as Physical Settlement, I can see how the issue could be isolated to cascading futures, but if not then it would be a broader consideration across several instrument types.

Download PDF version

This field is for validation purposes and should be left unchanged.