Fair value
- Thread starter PitBull
- Start date
http://www.stocktrendwizard.com/fairvalue.htm
Chris Terry (chartwiz212) posted this on his site
I have not used it -- so you will want to verify it yourself. I'm sure Chris can answer any questions you may have.
regards/greg
Chris Terry (chartwiz212) posted this on his site
I have not used it -- so you will want to verify it yourself. I'm sure Chris can answer any questions you may have.
regards/greg
Is there a website that has the current CNBC fair value for the day?
I know of www.programtrading.com, but it is often different than what CNBC has. I know CNBC announces it, but it's rare that I'm lucky enough to catch it.
I know of www.programtrading.com, but it is often different than what CNBC has. I know CNBC announces it, but it's rare that I'm lucky enough to catch it.
I know this one http://www.stormchasertech.com/. The numbers can be different depending on the source.
Also you could go here & I put the calcs on a spreadsheet for you
http://www.elitetrader.com/vb/attachment.php?s=&postid=30229
You have to put in the DATE, the EXPIRATION DATE the FUTURES PRICE THE CASH PRICE it will give you fair value
You have to Put in these prices/dates in at the close.....this will be Fair Value for the next day
Be sure you are aware of the difference between "long" money and "short" money for interest rates when calculating fair value. This makes a difference in buy and sell programs (at these low rates it is even more dramatic).
I believe there's an error in that spreadsheet.
It's computing FV as CV * (I * Days/365) - DivRate.
So it's basically computing the fair value as cash value multipled by the interest/carrying cost for the time remaining in the contract less a nickel (the 5% index dividend that's being used as a default).
This produces too high a result. For instance it would compute a fair value premium of over 12 for the March S&P contract which as of today should only be only about 1.50-1.60.
Instead I believe the formula should be:
FV = CV * (I-DivRate) * Days/365
The net cost of carrying the underlying equities (which is what the fair value premium is) is the difference between the cost of money and the dividend realized - which is a net of around 0.65%/year right now.
The factor above and below FV premium for buy/sell program activation will be slightly different for each firm due to differences in their respective cost structures and is probably premiums between $2.75-3.00 for buy programs and $0.00-0.25 for sell programs today.
It's computing FV as CV * (I * Days/365) - DivRate.
So it's basically computing the fair value as cash value multipled by the interest/carrying cost for the time remaining in the contract less a nickel (the 5% index dividend that's being used as a default).
This produces too high a result. For instance it would compute a fair value premium of over 12 for the March S&P contract which as of today should only be only about 1.50-1.60.
Instead I believe the formula should be:
FV = CV * (I-DivRate) * Days/365
The net cost of carrying the underlying equities (which is what the fair value premium is) is the difference between the cost of money and the dividend realized - which is a net of around 0.65%/year right now.
The factor above and below FV premium for buy/sell program activation will be slightly different for each firm due to differences in their respective cost structures and is probably premiums between $2.75-3.00 for buy programs and $0.00-0.25 for sell programs today.
