|
PureBytes Links
Trading Reference Links
|
At 01:53 PM 9/9/2004, you wrote:
> I realize that today the markets rolled from the September contract
> to the December contract but it doesn't make sense to me that the
> December contract would be consistently trading above September and
> also above the spx cash. Does anyone have another explanation?
The fair value of the futures contract includes an interest rate term that would be zero for the September contact now and non-zero for the December contract.
See: http://www.cme.com/prd/eq/fairvalue2543.html
Bob Fulks
------------------------ Yahoo! Groups Sponsor --------------------~-->
$9.95 domain names from Yahoo!. Register anything.
http://us.click.yahoo.com/J8kdrA/y20IAA/yQLSAA/zMEolB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/realtraders/
<*> To unsubscribe from this group, send an email to:
realtraders-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|