Explain why the Sep./Dec. spread for ES and NQ is different

[mgkrebs]

Originally posted by stock777
Hmmmmm. I've seen answers to questions posted here that bordered on Phd. thesis, and what do I get?

Wisecracks and one word explanations.


Dividends.


Uh, how does that explain the difference , since there are dividends involved with BOTH the ES and NQ?

spx dividend yield 1.5%
ndx dividend yield 0%.

Looks like the spx yields about a zillion times what the ndx does.

 

[metooxx]

Originally posted by def


The answer wasn't intended to be a wise crack - just a simple and straight forward answer.

Future = Cash + interest -dividends

Do Microsoft, Intel, and the other major components of Nasdaq pay dividends? What about IBM, GE, WMT?


Would asking for an apology be a wisecrack?

Def is correct; and I will take the credit for the wisecrack ...

 

[Miki]

Metooxx is a man of few (usually well chosen ) words.

I like it.

 

[limitdown]

Disparate time spreads between contracts occurs in the futures markets between contracts as an abnormality. This used to occur in the Chicago Futures markets in the Bond and early traded SPX pits, until it gained notarity in the B School discussions, and others began to smell opportunity.

Simply put, no one can give a definitive answer, just suppositions for disparate time spreads beyond a reasonable (read historical norm for that specific futures contract). Here are a few of the more commonly proffered explanations:
1) Dividends and their effect upon pricing, time value and yield (Interest Rate return, time to dividend, cash equivalent, etc.)

2) No active attention / trading in that time series because all activity usually occurs in the front month

3) excessively high volitility and risk premium associated with trading the far month contract on the NQ, and no one being able to reasonably predict with any form of stability / reliability where these Internet "Disappearing Acts" will be priced.

There are other suppositions, but between these three I think it just about covers it. Hey, wasn't "Disappearing Acts" a movie?

 

[metooxx]

Originally posted by limitdown
Disparate time spreads between contracts occurs in the futures markets between contracts as an abnormality. This used to occur in the Chicago Futures markets in the Bond and early traded SPX pits, until it gained notarity in the B School discussions, and others began to smell opportunity.

Simply put, no one can give a definitive answer, just suppositions for disparate time spreads beyond a reasonable (read historical norm for that specific futures contract). Here are a few of the more commonly proffered explanations:
1) Dividends and their effect upon pricing, time value and yield (Interest Rate return, time to dividend, cash equivalent, etc.)

2) No active attention / trading in that time series because all activity usually occurs in the front month

3) excessively high volitility and risk premium associated with trading the far month contract on the NQ, and no one being able to reasonably predict with any form of stability / reliability where these Internet "Disappearing Acts" will be priced.

There are other suppositions, but between these three I think it just about covers it. Hey, wasn't "Disappearing Acts" a movie?

Your thesis?

 

[stock777]

Originally posted by def


The answer wasn't intended to be a wise crack - just a simple and straight forward answer.

Future = Cash + interest -dividends

Do Microsoft, Intel, and the other major components of Nasdaq pay dividends? What about IBM, GE, WMT?


Would asking for an apology be a wisecrack?

Makes sense when explained in detail. No divs on the NQ so no big debit there.

I referred to wisecracks and short answers. Clearly wasn't calling your answer a wisecrack.

 

[def]

no offense taken - my attempt at humor.

I didn't check but I'd bet there are 4 points more of dividends in the SPX index that will be paid out beteen sep/dec rrelative to NDX.

this really isn't rocket science.