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On Nov 12, 11:43am, Eric wrote:
> Subject: Dow Futures Fair Value
> RTer's,
>
> Have any of your data services begun providing the Premium reading for
> the Dow futures vs DJIA? DTN doesn't seem to know what I am talking
> about when I ask them.
>
> Has anyone seen a source of daily "fair value" computation for this
> premium?
As a first cut, just divide the current DJ by the SP, and multiply
this factor times the SP's value of Fair value, Buy, Sell Levels.
The assumption here is that the DJ and SP will be fairly tightly
arb'ed, and with divs. so low in general, they're not a big factor:
DJPEM = DJ / SP * PREM
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| Gary Funck, Intrepid Technology, gary@xxxxxxxxxxxx, (650) 964-8135
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