I have a question regarding the effect of dividend payouts on a stock market index. If a certain day has a large number of companies going ex-dividend does this whack the futures price to any degree?
I can only comment on this in theory rather than in practice, but from a textbook perspective going ex-dividend should actually increase a futures price rather than decrease it, because you are subtracting the income. But the price of the underlying decreases, so hmmmmm..... I think the answer is that the futures price is roughly unchanged? Here are a couple of formulas for you from my risk management text: Futures price of a stock index F = S*e^[(r-q)t] Another somewhat similar way of looking at this would be the forward price of something with income: F = (S-I)e^(rt) So by decreasing "q" you are increasing the futures price, but when underlying goes ex-dividend, S should decrease.... In the above, F is the future/forward price, I is income, q is yield, t is time in years, r is risk-free rate (which is continuously compounded in this case).
Just my offhand guess (as a CFA, I'm 'sposed to know this): The payouts shouldn't affect the futures price, but the stocks will drop, NARROWING THE SPREAD between the futures and the cash index.