Hello all! Does anyone know where I can get the daily Fair Value numbers for the Russell 2000, and the Dow futures? Thanks in advance!
http://www.indexarb.com/ http://www.programtrading.com/ Have never seen Russell FV listed anywhere. Frank is known for his secretive ways.
You can do a simple arithmetic in excel spreadsheet. (cash and carry model) for example, I used the following- 3Month cash interest rate=4.8%, dividend=1.7%, and expiration of 2006June16, todays' russel FV=727.7. Of course you'd get different results if you used LIBOR, different expiration date/or first notice date etc etc...It wouldnt be that different though. Best.