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There is no closed form formula. The Newton-Raphson method is a commonly used iterative procedure, but there are others. Obviously, you can also use Solver. There are also some closed-form approximations, like this one here.

Erm, what's the payoff like from selling a put or a call?

You can also do BDVD to get even more detail...

I agree it's sorta semantics that we're arguing. I am stating that both the "no arbitrage" pricing logic is valid and also that all futures, including index futures, reflect mkt's expectations for where the underlying would be at maturity. In fact, the two statements are tautological.

I am not sure what you're arguing here, but it would appear that you're agreeing with me... I can offer you a very simple thought experiment as well, if you like.

So while this is broadly correct, there are a few things I would question. Firstly, it's not clear whether inflation should be added or not. There's some evidence that, because firms have at least some pricing power, your equity returns have at least some "real" component to them. This is a...

You stated "...there are no dividends". What cashflows are you referring to here? You are very confused here... Again, in the absence of dividends, why would the return of the index be 10% and higher than the "risk-free" rate? At any rate, just think about it, you'll figure it out yourself...

I only know of a way to do this in BBG, sorry...

You're erroneously confounding volatility and expectations here. The fact that the price of futures reflects expectations at any given moment doesn't mean that those expectations remain constant over time. You're confused and are contradicting yourself somewhat. Firstly, the "risk-free" (I...

You should look at volatility as an imperfect estimate of risk. I don't know of any technical indicators/rules of thumb/etc which can guide your risk management. Experience and a deep understanding of the nitty-gritty of the mkt are the only ways I know of which can give one insight into risk.

Sorry, it's all very confusing, so let me be more explicit... I believe in the no arbitrage pricing logic. I also believe that the futures contracts reflect the mkt's expectation (risk-neutral, naturally) of where the underlying index will be at the time of maturity.

I was specifically referring to the statement "2 is totally incorrect...", rather than the cash-and-carry "no arbitrage" pricing.

This is incorrect, IMHO...

You mean BDSM-style? I see...

So you just enjoy the drama, what with all the highs of great expectations and the lows of no gratification?

Think of it this way (I think that's what Sig said as well). Risk, as you point out, is hard to measure. One person's opportunity is another person's threat. So you can think of volatility as an estimate of true underlying risk of an asset. Is it a perfect estimate? Certainly not. Is it...

If anything they say is lies, why listen to them? Specifically, why care if they're taking down previous forecasts?

"Getting chopped"

The short-dated BTP futures contract is not very liquid at all...

Are you Gary?