dow fair value

Discussion in 'Trading' started by mar1991, Apr 14, 2003.

  1. mar1991


    when you calculate fair value in the dow, to figure out where the futures should be trading - you get a spread reading of 20.50 points, but when you look at the futures vrs dow cash the fair value spread is 25 popints - for this to be true the interest rate that the pit is using would be 1.00 percent which can not be true because the libor rate is 1.25 percent at the lowest. If any one knows the reason that the spread between the 2 is 25 please drop me a line. days to exp. is 69 and the der value is 40.5