CNBC SP Fair Value on 3-27-08

Discussion in 'Trading' started by nitro, Mar 27, 2008.

  1. nitro


    Does someone know what the CNBC Fair Value for today that is displayed on the screen in the morning for today is?


  2. Fair value is a number which is claculated each day its not a CNBC stat. Sorry I dont recall what it was for todays opening
  3. nitro


    Thanks xflat, somone PMd me the value.

    RiceRocket, those are not what I am looking for. Thanks.

  4. sarahs


    stupid number based on yest close
  5. Its not a stupid number. Since the futures are an arb for the cash and the futures dont close untill 4:15 while the cash closes at 4:00 there is always a differential between the cash and futures over night. The fair value also includes the differential in the cost to carry each night which is a value that decays the closer you get to settlement. Its only stupid if you dont understand it.
  6. In general, it isn't espeically useful. Few traders can successfully arb it.
  7. The S and P futures are arbed all day long each firm has its own matrix for replicating the cash and buy / sell programs are huge and linked to the futures cash differential. Its also useful in knowing what the futures mean before the markets open.
  8. Oh well, let me correct myself...

    Few individual traders like us can successfully arb it.
  9. Cannot possibly trade well, especially intraday, without knowing exactly what the PREM/Disc is to Fair Value. I give all my traders a spreadsheet that calculates this value, second by second.

    When the futures are trading 2+ ticks over FV, that is an immediate indication of market movement in the underlying stocks, and vicer versa when trading at a 2+ discount below FV. When combined with pivots, and depth of book, is a must for trading IMO. And, after the market closes, and the E's are still trading, we can see exactly what the sentiment is.

    And, we can't do opening only order calculations without these numbers. Yes, they are a bit different depending on the traders cash status...whether they are trying to beat the street with their long cash, or if they have to borrow and pay interest to engage in long short strategies. This interest rate differential is all the difference you should see.

    #10     Mar 28, 2008