| NASDAQ-100 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE
REPORTABLE POSITIONS AS OF 02/13/01 |
-------------------------------------------------------------|
NONREPORTABLE
NON-COMMERCIAL | COMMERCIAL | TOTAL | POSITIONS |
| When the market actually opened the Nasdaq went South. Since the numbers
I found under the heading of NSDQ100 and ENasdaq were so far away from
the CNBC numbers I have to think they are not the same. |
|
NASDAQ-100 STOCK INDEX (MINI) - CHICAGO MERCANTILE EXCHANGE
REPORTABLE POSITIONS AS OF 02/13/01 |
-------------------------------------------------------------|
NONREPORTABLE
NON-COMMERCIAL | COMMERCIAL | TOTAL | POSITIONS |
| Index futures are basicially a cost of carry
calculation.
If you assume you owned the basket of stocks
in the NASDAQ index and the index itself was
trading at say 2600 (called cash or spot price)
then you have $260,000 worth of stock.
To derive a future price of this you must consider
the time horizon and current interest rates as if
you really owned the basket. If you had $260,000
tied up in the index for 30 days, rather than having
the same amount in another investment such as
a money maket account, the cost of carry is |
|
Paul wrote in message
news:pbboetsdrr6a1ufak1s3f7cc12hmokjiml@4ax.com...
Greetings:
My question is whether or not a any sort of fair value is
calculated for NASDAQ futures like it is for the SP500.
I am wondering if the buy/sell programs which automatically
kick in when you deviate x amount from FV on the SP500
apply to the NQ or ND as well. Also, is fair value re-calculated
every morning based on current interest rate/dividend info. or
is it updated more (or less) frequently? Thanks - Paul |
