Fair Value
- Thread starter mschey
- Start date
http://www.indexarb.com/
http://www.programtrading.com/
Have never seen Russell FV listed anywhere. Frank is known for his secretive ways.
http://www.programtrading.com/
Have never seen Russell FV listed anywhere. Frank is known for his secretive ways.
You can do a simple arithmetic in excel spreadsheet. (cash and carry model)
for example, I used the following- 3Month cash interest rate=4.8%, dividend=1.7%, and expiration of 2006June16, todays' russel FV=727.7.
Of course you'd get different results if you used LIBOR, different expiration date/or first notice date etc etc...It wouldnt be that different though.
Best.
for example, I used the following- 3Month cash interest rate=4.8%, dividend=1.7%, and expiration of 2006June16, todays' russel FV=727.7.
Of course you'd get different results if you used LIBOR, different expiration date/or first notice date etc etc...It wouldnt be that different though.
Best.