Timepremium difference

Pekelo

Pekelo

Why is the timepremium between the ES/SPX is bigger than the YM/DJX? Is it because the premium is caused by the dividens and SPX has more companies in it??
 
Quote from Pekelo:

Why is the timepremium between the ES/SPX is bigger than the YM/DJX? Is it because the premium is caused by the dividens and SPX has more companies in it??
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Yes, cost of carry includes dividends so different yields would mean different cost of carry.
 
The interesting thing is that the premium yesterdey for ES/SPX was 4.5 points and YM?DJX 30 (which is 3 ES points).

Can be some kind of strategy worked out to take advantage of this? (because they tend to move together)

Also today the ES/SPX premium collapsed and it was down to 3 ES points, thus there was no longer difference between the two.

So I guess with some kind of arbitation a 1.5 or so points could have been made...
 
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