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Re: [RT] Sept Futures



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Yes, thanks for confirming and clarifying.
----- Original Message -----
From: EAdamy
Sent: Tuesday, March 11, 2008 12:29 PM
Subject: RE: [RT] Sept Futures

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?
 
Thanks,
 
Kate

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