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In a message dated 98-01-13 19:27:25 EST, you write:
<< The original post about premium leading the OEX is misleading, because the
OEX is the cash component, and Premium is simply a derived value of
futures-cash >>
Chris:
I agree completely but that is not the question. The question is which
component is transmitted first to traders thru the data. In theory there
should not be any way for premium to lead cash, especially by 2 minutes on a
chart, but if it occurs in the real world, we must deal with it. If anything,
cash should lead premium.
Lynn
complete message below.
To put an end to this discussion on premium leading cash, lets remember that
Premium is:
Premium = Futures-Cash
The original post about premium leading the OEX is misleading, because the
OEX is the cash component, and Premium is simply a derived value of
futures-cash. Simple algebra will tell you that if premium leads the OEX,
that it is due to the futures moving up. In short, what is leading the OEX
is the Futures!
Regards,
Chris Lober
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