| 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 INDEX X $100) OPEN INTEREST:
51,071
COMMITMENTS
10,205 6,166 236 27,620 35,763 38,061 42,165 13,010
8,906 |
| 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 |
|
Yes, there is a fair value for the Nasdaq futures (and all other stock index
futures). It is even easier to calculate and arbitrage because there are
only 100 stocks in the index. Yes, there are buy/sell programs for the
Nasdaq 100. If you have a large portfolio, you could look into basket
trading with one of the major brokerage firms and then just get a real time
data feed into your spreadsheet and you could try arbing it yourself.
(Probably not worth it, though. Unless you can figure out some way that
youll be able to do it with an edge over everyone else doing it.) |
