Fair Value

Discussion in 'Trading' started by mschey, May 16, 2006.

  1. 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!
  2. Banjo


  3. Bump!

    Anyone else know where I can get the Russell 2000 fairvalue?

    Thanks again!
  4. Circle


    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.