Calendar spreads on MSCI Taiwan futures

Discussion in 'Index Futures' started by econbizer, Aug 23, 2011.

  1. Hello, anyone trades TW futures here?

    And has any idea why the Aug11 futures (near month) versus Sep11 futures (far month), has a spread of abt -1.3? My own theoretical calculations puts the spread at a meager -0.12. I am guessing that I am wrong with my dividend impact calculations.. even thou I got the data from bloomberg.

    Theoretically, the MSCI Taiwan Index Cash price - div impact + interest rate impact = futures value. But somehow my dividend data is whacked.. how do you guys calculate the spread?