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A few comments on the option discussion:
Individual traders may be ignoring carry on stock options, but the big
boys don't. All their risk monitoring tools will incorporate carry into
pricing and risk evaluation, especially where longer term options are
involved.
Also, there are firms out there which specialise in comparing the
arbitrage plays (eg long call plus short put against short underlying)
electronically, which is what keeps the two sides close.
The one thing that throws the relationships out of whack is market
movement. Consider a news event which is bullish. When people want to
invest, they will buy the index futures first, because it is easier than
trying to execute in the underlying stocks, and the options are usually
too illiquid. This pushes the futures up realtive to both the stocks and
the index options. Eventually the stocks and the index options will get
pulled up too, but in the meantime the strict relationship is lost.
Regards
DanG
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