Cost of carry is almost zero

Discussion in 'Index Futures' started by Pekelo, Mar 10, 2008.

  1. Pekelo


    This is expiration week and the difference between the March and June ES futures is less than 2 points. Usually on expiration week there is a 13-14 points of premium for the new front end which comes from the cost of carrying it for the next 3 months.

    Does this mean that the market's expectation is really low???
  2. Fed Funds are at 3.00% (and heading lower) and the yield on the S&P 500 is 2.35%, so you figure it out.
  3. I noticed that as well. I have never seen it with so little premium on the rollover.
  4. I think its because they want you to buy.