Calculating GC gold futures fair value

[ben111]

Hello,

can somebody explain to me how to calculate the fair values of the different GC futures? Are the futures connected to spot?

And are the silver futures similarly calculated?

Thanks

 

[samiotis]

Is this what you looking ?

From this site: http://www.indexarb.com/fairValueDecomposition.html


Fair value premium, hereafter called just fair value, is that difference between the futures value and the spot index value such that the futures and the equity markets are in equilibrium. (Some label fair value as the value of the futures and fair value premium as the aforementioned difference; the convention here is to label the difference as fair value.) At fair value, there is no positive nor negative bias that the two markets mutually exert on each other.

Fair value (FV) is equal to the interest that could be earned on the index (i.e., cost of carry) minus the relevant stock dividends occurring during the futures' duration, which is the time from the given date (which is usually today and, for this web page, is the "for" date listed under the page title) until the futures' settlement (expiration) date. Thus, fair value consists of the two components of interest earned and dividends. This web page illustrates the magnitude and, hence, comparative relevance of these two components.

From this site: http://www.indexarb.com/fairValueDecomposition.html

 

[ben111]

@samiotis

Thanks for the link.

But I'm looking for infos about the fair value especially for the gold futures. Index futures are all related to spot but how about gold (silver) futures.
So can the spread between different gold futures months move or is it almost fix?

 

[bone]

Please review the Comex GC contract specifications on the CME website. Your difficulty will be finding accurate and timely quotes for the underlying - on a cost-effective basis.

 

[MRE]

Do you mean calculating the theoretical price of the futures contract based on the physical? If so, then you would want to use a cost of carry equation and like bone wrote, the spot price and some other variables might be hard to come by.

 

[ben111]

Quote from MRE:

Do you mean calculating the theoretical price of the futures contract based on the physical? If so, then you would want to use a cost of carry equation and like bone wrote, the spot price and some other variables might be hard to come by.

Yes, that's what I mean.

I know that I need the variables but from where do I get them?
Isn't there any website that exactly explains how to calculate the GC futures prices?

(I'm also interested in how - and with what variables - other futures are calculated eg. Bund, t-note.)