Futures Index minus Cash Index > 10 points

Quote from HeSaidSheSaid:

I dont know what the implication is, usually I see the two indexes lock in step each others pretty close, but not lately
More...
You can even track this difference...it's called Premium...:D
 
honestly I trade only stocks, I know a little bit of futures, I pay attention to it only at the beginning of the day, other than that, I don't trade it everyday... I watch NBR almost everyday, and at the end of the show, they show where the SP500 futures is closed for a particular day. Normally, the futures ends the day pretty right on the target with the cash index, but not lately. as you can see, I ain't no expert in SP500 futures, I'm just asking for advice from the market veterans. Is this divergence normal? or someone knows something about the future of the SP500 ? why are they diverging?
Thank you much.
 
the spread is normal. higher interest rates equals higher spread. as the sp reaches expiration the spread goes to 0.
 
Quote from HeSaidSheSaid:

honestly I trade only stocks, I know a little bit of futures, I pay attention to it only at the beginning of the day, other than that, I don't trade it everyday... I watch NBR almost everyday, and at the end of the show, they show where the SP500 futures is closed for a particular day. Normally, the futures ends the day pretty right on the target with the cash index, but not lately. as you can see, I ain't no expert in SP500 futures, I'm just asking for advice from the market veterans. Is this divergence normal? or someone knows something about the future of the SP500 ? why are they diverging?
Thank you much.
More...

There is no divergence. In June when it was trading June future, the premium was small. Now it is trading Sep future, the premium is larger. The premium is a function of time difference.
 
Quote from yip1997:

The premium is a function of time difference.
More...

Correct. Numerically speaking, it is about 4 ES points per month. Thus in June the Sept futures were about 12-14 points higher than the cash and as time goes by this difference slowly disappears....
 
You must log in or register to reply here.
Back
Top