I have been wondering the same. The fair value spread of March
over SPX is $0.40 today with just a few days left until expiration. While the
risk-free interest rate used in calculating premium had dropped by a huge
amount, the March to June spread still seems way too tight at 2+- handles. Seems
to me that current March to June spread strongly favors buying.
Earl
FV = S [1 + (I - D)]
Where "S" is the S&P 500 Stock
Index.
Where "I" is the amount of Interest
paid to your banker or broker to borrow the money to buy all of the stocks
in the S&P 500 Index. The interest is calculated based on a percentage
lending rate (R) from the current date (today) until the date that the
S&P Futures Contract expires in March, June, September, or
December.
Where "D" is the amount of Dividends
paid to you from the companies that you own in the S&P 500 Index that
pay a dividend. The dividends are paid to you based on the record
dates for any stock in the Index that is announced between the current
date (today) and until the date that the S&P Futures Contract expires
in March, June, September, or December. This dividend income is expressed
as a percentage rate too.
From: realtraders@xxxxxxxxxxxxxxx
[mailto:realtraders@xxxxxxxxxxxxxxx] On Behalf Of ketayun Sent:
Tuesday, March 11, 2008 5:25 AM To: Realtraders Subject:
[RT] Sept Futures
Ordinarily there is an
approximately $12.00 premium on the upcoming front quarter futures compared to
the Cash Index. However I see that the March and June futures have only
$1-2. Is there any reason for this?