Automation of futures rolling analytics for a futures trading desk of a global investment bank

  • USD1m

    in cost savings

  • USD4m 

    in additional commissions for the client

  • 100%

    staffing flexibility


CLIENT CHALLENGES

  • The futures trading desk of a global investment bank required support to analyse the rolling index futures listed on the CME that identified trading opportunities, low-cost hedging strategies and index rolling strategies
  • The entire analysis was performed manually using Excel; this consumed the team’s bandwidth
  • The bank was looking to automate the process within its existing platform

OUR APPROACH

  • Acuity deployed a team of financial engineers with a strong quantitative research background and expertise in advanced MS Office to conduct research and automate the spreadsheet process
  • The team was supervised by subject-matter experts with experience in advanced MS Office solutions and futures trading

IMPACT DELIVERED

  • The project was completed in a year with the help of five specialists and resulted in cost savings of USD1m
  • The provision of bespoke support helped the client obtain additional trading commissions of USD4m over the next two years
  • The client also had a team ready for quick research to support the trading desk
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