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) 2,441.77 Sep 17 N/A N/A N/A N/A 0.0357
NASDAQ 100(NDX) N/A Sep 17 N/A N/A N/A N/A N/A
DJ Ind Avg(INDU) 21,470.10 Sep 17 N/A N/A N/A N/A N/A
FTSE 100(Z) N/A Sep 17 N/A N/A N/A N/A N/A
DAX 30(DAX) 12,555.51 Sep 17 N/A N/A N/A N/A 0.0450
Swiss Market(SMI) 9,007.20 Sep 17 8,988.97 8,989.00 -18.23 -18.20 0.0280
0.0003%
CAC 40(CAC40) N/A Jul 17 N/A N/A N/A N/A N/A
S&P/ASX 200(SPI) N/A Sep 17 N/A N/A N/A N/A N/A
Nikkei Dow(N225) 20,225.76 Sep 17 20,239.95 20,240.00 14.19 14.24 0.0538
0.0003%
Hang Seng(HSI) N/A Jul 17 N/A 25,754.00 N/A N/A N/A
As of: Thu, 29 Jun 2017 09:30 AM EDT. Tables updated every 15 minutes. Data available real-time to IB customers in Trader Workstation API
Disclosures

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