What's the normal premium between YM and Dow Cash?

J

JT47319

I'm still a newbie when it comes to the Dow e-mini, but the close of the YM and the close of the Dow is a difference of something like 40 points. I don't know the typical premium between the dow e-mini future and its cash, but for the ES its typically something like one or so points.

I'm surprised this wasn't arbitraged already despite the busted trades.
 
the bias between the future contract and the actual index could be positive or negative and the delta depends on the market sentiment. I think if you divide DowJones index value by S&P500 value that will give you an approximate multiplier for the YM contract.
 
You need to keep in mind that almost all the dow stocks pay dividends. The futures will almost always trade at a discount to the cash because they account for the fact that the dividends will be payed out between now and september expiration. So the basis will change a lot everytime a dividend gets payed out by one of the 30 stocks.
 
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