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) 2,383.73 Jun 17 N/A N/A N/A N/A 0.0505
NASDAQ 100(NDX) N/A Jun 17 N/A N/A N/A N/A N/A
DJ Ind Avg(INDU) 20,935.90 Jun 17 N/A N/A N/A N/A N/A
FTSE 100(Z) N/A Jun 17 N/A N/A N/A N/A N/A
DAX 30(DAX) 12,438.01 Jun 17 N/A N/A N/A N/A N/A
Swiss Market(SMI) 8,819.10 Jun 17 N/A 8,761.00 N/A -58.10 N/A
CAC 40(CAC40) N/A May 17 N/A N/A N/A N/A N/A
S&P/ASX 200(SPI) N/A Jun 17 N/A N/A N/A N/A N/A
Nikkei Dow(N225) 19,204.75 Jun 17 19,239.93 19,240.00 35.18 35.25 0.0686
0.0004%
Hang Seng(HSI) N/A May 17 N/A 24,538.00 N/A N/A N/A
As of: Fri, 28 Apr 2017 05:31 PM EDT. Tables updated every 15 minutes. Data available real-time to IB customers in Trader Workstation API
Disclosures

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