Nice observation of that r10 + repeated range expansion target.
Cool trade!
ES Journal Archive (2009 - 2010)
- Thread starter Jahajee
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Nice observation of that r10 + repeated range expansion target.
Cool trade!
Question
Why does ES currently trade with a negative premium to cash ?
During the bull it traded at a premium to cash.
But during this whole run up it seems like it has traded negative.
What will it take to make it start trading with a premium again ?
Why does ES currently trade with a negative premium to cash ?
During the bull it traded at a premium to cash.
But during this whole run up it seems like it has traded negative.
What will it take to make it start trading with a premium again ?
Low interest rates, low dividends.
S&P Indices
S&P 500 CASH DIVIDENDS
CASH MARKET DIVIDENDS
QUARTER DIVIDENDS VALUE DIVIDENDS $ BILLIONS
END INDEX PER SHR YIELD $ BILLIONS $ BILLIONS 12 MONTHS
12/31/2009 1115.10 $5.66 2.01% $9,927.54 $49.04 $195.61
09/30/2009 1057.08 $5.35 2.26% $9,336.51 $47.21 $208.76
06/30/2009 919.32 $5.44 2.78% $8,044.82 $47.63 $222.99
03/30/2009 797.87 $5.96 3.42% $6,927.59 $51.73 $237.30
12/31/2008 903.25 $7.15 3.14% $7,851.81 $62.19 $247.29
09/30/2008 1166.36 $7.04 2.47% $10,181.46 $61.44 $252.18
06/30/2008 1280.00 $7.10 2.24% $11,162.57 $61.94 $251.96
03/31/2008 1322.70 $7.09 2.14% $11,510.68 $61.72 $249.77
12/31/2007 1468.36 $7.62 1.89% $12,867.85 $67.09 $246.58
09/30/2007 1526.75 $6.90 1.77% $13,469.72 $61.21 $241.29
06/30/2007 1503.35 $6.69 1.74% $13,349.73 $59.76 $235.15
03/31/2007 1420.86 $6.52 1.79% $12,706.32 $58.53 $229.92
12/31/2006 1418.30 $6.86 1.75% $12,728.86 $61.79 $224.76
09/30/2006 1335.85 $6.09 1.80% $12,019.85 $55.07 $217.80
06/30/2006 1270.20 $6.02 1.85% $11,496.84 $54.52 $211.72
03/31/2006 1294.83 $5.91 1.76% $11,659.69 $53.37 $206.22
Fair Value = S [1 + (I - D)]
Where "S" is the S&P 500 Stock Index. The ticker symbol is SPX and/or INX on most good data feeds.
Where "I" is the amount of Interest paid to your banker or broker to borrow the money to buy all of the stocks in the S&P 500 Index. The interest is calculated based on a percentage lending rate (R) from the current date (today) until the date that the S&P Futures Contract expires in March, June, September, or December.
Where "D" is the amount of Dividends paid to you from the companies that you own in the S&P 500 Index that pay a dividend. The dividends are paid to you based on the record dates for any stock in the Index that is announced between the current date (today) and until the date that the S&P Futures Contract expires in March, June, September, or December. This dividend income is expressed as a percentage rate too.
S&P Indices
S&P 500 CASH DIVIDENDS
CASH MARKET DIVIDENDS
QUARTER DIVIDENDS VALUE DIVIDENDS $ BILLIONS
END INDEX PER SHR YIELD $ BILLIONS $ BILLIONS 12 MONTHS
12/31/2009 1115.10 $5.66 2.01% $9,927.54 $49.04 $195.61
09/30/2009 1057.08 $5.35 2.26% $9,336.51 $47.21 $208.76
06/30/2009 919.32 $5.44 2.78% $8,044.82 $47.63 $222.99
03/30/2009 797.87 $5.96 3.42% $6,927.59 $51.73 $237.30
12/31/2008 903.25 $7.15 3.14% $7,851.81 $62.19 $247.29
09/30/2008 1166.36 $7.04 2.47% $10,181.46 $61.44 $252.18
06/30/2008 1280.00 $7.10 2.24% $11,162.57 $61.94 $251.96
03/31/2008 1322.70 $7.09 2.14% $11,510.68 $61.72 $249.77
12/31/2007 1468.36 $7.62 1.89% $12,867.85 $67.09 $246.58
09/30/2007 1526.75 $6.90 1.77% $13,469.72 $61.21 $241.29
06/30/2007 1503.35 $6.69 1.74% $13,349.73 $59.76 $235.15
03/31/2007 1420.86 $6.52 1.79% $12,706.32 $58.53 $229.92
12/31/2006 1418.30 $6.86 1.75% $12,728.86 $61.79 $224.76
09/30/2006 1335.85 $6.09 1.80% $12,019.85 $55.07 $217.80
06/30/2006 1270.20 $6.02 1.85% $11,496.84 $54.52 $211.72
03/31/2006 1294.83 $5.91 1.76% $11,659.69 $53.37 $206.22
Fair Value = S [1 + (I - D)]
Where "S" is the S&P 500 Stock Index. The ticker symbol is SPX and/or INX on most good data feeds.
Where "I" is the amount of Interest paid to your banker or broker to borrow the money to buy all of the stocks in the S&P 500 Index. The interest is calculated based on a percentage lending rate (R) from the current date (today) until the date that the S&P Futures Contract expires in March, June, September, or December.
Where "D" is the amount of Dividends paid to you from the companies that you own in the S&P 500 Index that pay a dividend. The dividends are paid to you based on the record dates for any stock in the Index that is announced between the current date (today) and until the date that the S&P Futures Contract expires in March, June, September, or December. This dividend income is expressed as a percentage rate too.
See how quickly financials rebound after they are marked down to pay out in bonus? GS exployees get a bonus on their bonus.
As puzzled as I am, you probably do not believe I am still holding onto a small part of the position on EURUSD since the break from 1.48 area.
Daily trailing stop never got hit so far ... but close these 2 days.
It is very odd (should I use profanity like freaking odd =) ) we have this kind of PA on the currencies, since I switched over (back) last year. I traded currencies long time ago when I was younger, so it is not something new to me ...
It is as if someone casted a spell onto the pair and bounced all moves around here.
=(
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