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I reported the bid-ask prices in a spreadsheet, of the five books, where I also indicated the average price (midprice).

The image shows the detection of the prices of the future (fig1), of the call and put options strike 18000 (fig2 and fig3). and call and put options strike 18500 (fig4 and fig5). The survey time is the same for all five books: 11:04:43 a.m. (GMT).

I don't know the sofr rate and I'm not entirely familiar with the subject of rates. Anyway, thank you for the answer, which certainly offers reasons for very interesting reflections.

The broker I am using is an Italian bank, called Banca Sella. However, I don't know what its real-time data supply source is. The futures contract I refer to in my previous posts is the one that expires in June 2024, the third Friday of the month. And the options I mentioned also refer to that...

This result leads us to another question: shouldn't the risk-free interest rate be the same for futures and options that have the same maturity?

The calculations, in this case, show a result that is more consistent and close to the Euribor value: 4.016%.

I also thought of calculating the risk-free interest rate in another way: by applying the put-call parity to a pair of option strikes that have the same expiration as the June 2024 future. In practice, I imagine putting a box made up of two debit spreads on the market. One consisting of a long...

Thanks Robert Morse for your reply. Yes, the concept is clear to me. What I don't understand is the result of the application of the formula not in line with the current risk-free rate used in Europe (very close to Euribor)

I attach the image with the details of the calculation. It must be taken into account that in Europe the risk-free rate is currently around 4%. In your opinion, where could the error be?

My trading activity is based mainly on the trading of futures and options which have the Frankfurt stock exchange index, the Dax, as their underlying. For those who don't know it, the Dax is a basket of German shares that do not pay dividends (total return). I asked this question because...

Thanks to you too, Schizo, for the reply. The formula you propose is extremely general as, in addition to maintenance costs - especially important for commodities - it also takes into consideration the convenience cost for the seller, which is generally zero.

Thanks, Real Money. I didn't know this formula. The one I indicated I took from the text by J. C. Hull, "Options, futures and other derivatives". Formula based on continuous capitalization.

I would like to know if the mathematical relationship between a future and its underlying, represented by a basket of shares that do not give dividends, is the following: F=S*exp(rT) with r, risk-free rate and T, remaining duration of the futures contract. Thank you.