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If you're using BMI, you can get this data every morning in the Omega News
Monitor. Use "fair value" as the filter. This morning's fair value is
shown as 18.25. (I assume that you understand that this is the fair value
of the premium and not the contract. To get the theoretical fair value of
the contract, add this fair premium to the S&P cash index.)
Incidentally, the value published by ProgramTrading.com is apparently
calculated using some odd-ball proprietary formula - it differs
significantly from the value published by Bloomberg and others. The fair
value reported in the News Monitor article, on the other hand, is calculated
using the standard formula published by the CME and other sources.
Carroll Slemaker
----- Original Message -----
From: Herbert (Pete) Holt <rascal2@xxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Monday, December 13, 1999 6:14 AM
Subject: S&P500 Fair Value
> I noticed that the report of the S&P 500 futures fair value did not
> change from the December contract on Thursday before expiration date
> although most trading has changed to the March contract. Does anyone
> know how to "adjust" the fair value report to the March contract, or
> where I can get a report on the March contract fair value?
>
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