Is there a theta in futures?

Question

Is there a theta/delta (like in options) in futures? I mean, if the spot price of the underlying (for example: crude oil) up $5, Is there a ratio that the front 6 months contract will be affected, and other ratio for the 12 months contract ?

Answer 1

No. Theta is the decline of the option value as it approaches expiry because there is less time for the possible movement further into the money. There is no optionality in futures contracts.

What you are thinking of is the term structure of prices in expiry, and that is more to do with the market's perception of the future value of both the underlying of the future, and cash. This is not theta, but the time value of money.

Answer 2

Theta is the change in an instrument's value with the passage of time, all other factors staying constant. If you have a futures position and the underlying future price does not change, the value of your position remains the same. So the theta of a futures position is always 0.

Similarly, Delta for a long (short) futures trade is always 1 (-1) because the price of a futures contract moves directly with the futures price - if the futures price moves up $1, the value of a long (short) futures contract goes up (down) $1.

Note that futures prices (and thus the value of your futures position) are not directly affected by changes in the spot price. The forward curve tends to move as the spot price moves, but it's not a certainty.