Calculating Fair Value

Discussion in 'Trading' started by Sky123987, Jan 23, 2008.

  1. I know the equation, is FV = S [1 + (I - D)]

    Where "S" is the S&P 500 Stock Index. The ticker symbol is SPX and/or INX on most good data feeds.

    Where "I" is the amount of Interest paid to your banker or broker to borrow the money to buy all of the stocks in the S&P 500 Index. The interest is calculated based on a percentage lending rate (R) from the current date (today) until the date that the S&P Futures Contract expires in March, June, September, or December.

    Where "D" is the amount of Dividends paid to you from the companies that you own in the S&P 500 Index that pay a dividend. The dividends are paid to you based on the record dates for any stock in the Index that is announced between the current date (today) and until the date that the S&P Futures Contract expires in March, June, September, or December. This dividend income is expressed as a percentage rate too.

    QUESTION???? if I were to calculate this, what would I use for I? like is there a website where I could find I?

    Thanks
     
  2. Check out indexarb.com. H L Camp also talks about this (programtrading.com).

    lj
     
  3. Hey thank you very much for those web site. They don't give what I is, however they give everything else so I guess I could just solve for I.

    Thanks Again