Posted by padraigm on 15th of Dec 2009 at 11:25 am
The difference is the time value of money. If you own cash
S&P you collect the dividends. The forward always trades at a
discount to reflect this difference. Over the next 90 days they
will converge to each other.
SPX Future and Cash discrepancy
Posted by flmaia on 15th of Dec 2009 at 10:59 am
Please, can anyone explain the current discrepancy (future 1108.5 cash 1113.5)?
Shouldn't be reverse?
The difference is the time
Posted by padraigm on 15th of Dec 2009 at 11:25 am
The difference is the time value of money. If you own cash S&P you collect the dividends. The forward always trades at a discount to reflect this difference. Over the next 90 days they will converge to each other.
Thank you, it makes sense for me
Posted by flmaia on 15th of Dec 2009 at 11:41 am
This varies intraday all the time. Arbitrage traders go after extremes all the time. I follow this on a constant basis - it gives you a big clue to market direction. Remind me and I will post a chart
Posted by foolwise on 15th of Dec 2009 at 11:19 am
Thanks, but...
Posted by flmaia on 15th of Dec 2009 at 11:24 am
Since few days ago, it has been happened not just in an intraday basis.
Please, if you can post the mentioned chart
The reason is s&p future
Posted by doctormike on 15th of Dec 2009 at 11:41 am
The reason is s&p future just rolls over to the new contract. It went from esz09 to esh10. Basically it rolls every three months.