Futures Arbitrage Premium/Discount Index

The fair value of an index futures contract is computed by combining all the underlying values, adding an interest cost of carry for the duration of the futures contract, and subtracting any dividends that are paid during the duration of the futures contract. The table above compares near futures contracts with the fair value of the underlying representing a contract. When a futures price is greater than the fair value, there is a premium, indicating that the market believes there is a potential for increase in the underlying price or a decrease in the futures price. When a futures price is less than the fair value, there is a discount indicating the market believes there is a potential for a decrease in the underlying price or an increase in the futures price.


Futures Arbitrage
IndexCashExpiryFair Market
Price		FutureFair Value
Spread		Basis
Spread		Disc or Prem
/ %
S&P 500
(SPX)		 N/A Mar 16 N/A 1,929.50 N/A N/A N/A
NASDAQ 100
(NDX)		 4,221.73 Mar 16 N/A N/A N/A N/A N/A
DJ Ind Avg
(INDU)		 N/A Mar 16 N/A 16,486.00 N/A N/A N/A
FTSE 100
(Z)		 N/A Mar 16 N/A N/A N/A N/A N/A
DAX 30
(DAX)		 N/A Mar 16 N/A N/A N/A N/A N/A
Swiss Market
(SMI)		 7,987.60 Mar 16 N/A 7,873.00 N/A -114.60 N/A
CAC 40
(CAC40)		 N/A Mar 16 N/A N/A N/A N/A N/A
S&P/ASX 200
(SPI)		 N/A Mar 16 N/A N/A N/A N/A N/A
Nikkei Dow
(N225)		 16,052.36 Mar 16 16,099.91 16,100.00 47.55 47.64 0.0864
0.0005%
Hang Seng
(HSI)		 19,437.00 Feb 16 19,442.99 19,443.00 5.99 6.00 0.0099
0.0001%
As of: Tue, 23 Feb 2016 01:31 AM EST. Tables updated every 15 minutes. Data available real-time to IB customers in Trader Workstation API.
Disclosures

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