Perhaps someone would clarify a query re the Cost of Carry calculation (and correct my calculation if necessary). I need to determine the underlying at certain (last trade) times for options to determine implieds for various expiries. Assume today is 1 August. Sep DAX future expires in 46 days, Dec in 137 days, etc. The underlying for Aug and Sep DAX options is DAX Sep future at 46 days. The underlying for Oct and Dec options is the Dec future. However, due to low volume/infrequent trades on Dec one cannot rely on it for a reasonable value at a given time. Therefore, I use the Sep DAX as a proxy and adjust via the Cost of Carry calc. Example: 1 Aug, 11:37 am, Sep DAX = 5705. Dec DAX = Sep DAX x EXP(RATE) x (DAYS/365) = 5705 x EXP(3%) x (137/365) = 5763. My first query concerns the âDAYSâ figure. Is it 137 (1 August to 15 December)? The problem is, Iâm extrapolating from an approximation of two futuresâ fair values (of spot/cash), ie a future fair value from a future value. Is this correct or should I use the cash for the calc? Finally, is this the correct calculation? Any advice greatly appreciated. Thanks in anticipation. Grant. PS. Someone asks re books lower down in the forum. If I may make a couple of suggestions: JC Hull, Options, Futures and other Derivative Securities (Prentice Hall); and DA Dubofsky, Options and Financial Futures, Valuation and Uses (McGraw Hill).