Has anyone tried to make some anticipation based on daily changes in Fair Value (futures over underlying index?
Of course...the PREM/DISC to FV is fundamental to all trading decisions, ever since they started trading Spoos. Don
When people act like "what a stupid question, of course..." without any particular defense, reasoning, or example(s) - it is hardly a helpful thing.
Not my intention at all...sometimes these threads misinterpret tone...sorry if it came off that way. I have answered similar questions many times, but here you go.... Traders on the Floor of the CME and other institutional futures traders will sell Futures when they show a "PREM" to fair value, and if they can't buy them back, they often times buy all the underlying stocks, and vice versa with "DISC" to fair value - a great leading indicator for equity traders. http://www.programtrading.com/fvalue.htm All the best, Don