Any idea how I would go about that. Given the closing price of the dow jones index, how would I calculate the theoretical implied value of what the DIA ETF should be? Thanks.
for DOW futures From âChapter 27 CBOTâ: http://www.cmegroup.com/rulebook/CBOT/IV/27/27.pdf 27102.B. Trading Unit The unit of trading shall be $5.00 times the DJIA. 27102.C. Price Increments The price of mini-sized Dow futures shall be quoted in points. One point equals $5.00. The minimum price fluctuation shall be one point per contract. Contracts shall not be made on any other price basis. And - One DJIA Index ($10 multiplier) futures contract shall be deemed to be equivalent to two mini-sized Dow ($5 multiplier) contracts. - One DJIA Index ($25 multiplier) futures contract shall be deemed to be equivalent to five mini-sized Dow ($5 multiplier) contracts. - Two DJIA Index ($25 multiplier) futures contracts shall be deemed to be equivalent to five DJIA Index ($10 multiplier) futures contracts. Refer to Rule 559. for requirements concerning ----------------------------------------------------------------- there is similar specification for DIA (sorry do not know where it is) where DIA should be equal to the DJI index divided by 100 and if it is not it will be adjusted. The problem is that it is not always the same, especially on intraday charts.