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I think you can safely assume zero dividends for the NDX so all you need
is the NDX cash price, the T-bill rate and the expiration date for the
fair value calc. That makes it easier than the SPX. I've never done it
but it would be easy in Tradestation or Excel.
NDX Fair Value Premium =
(NDX cash index)*(T-bill yield)*(Days to expiration)/365
No need to calculate it down to a fraction of an index point when the
bid/ask spread on the futures is often 3 or 4 points.
> Is there a place to find the fair value for the NASDAQ 100 leading month
> futures contract each day? (As calculated by some reliable source.)
>
> I have located the formula at the CME website, but this looks pretty
> intensive to keep up with each day with the dividends, etc:
> http://www.cme.com/e-nasdaq/n_fairvalue.html
--
Dennis
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