You always here about comission and slippage, but I never hear about the fee for the interest rate. If you buy 1 contract of the ES I know that commision is about 2.50 per trade in comissions and 12.50 in slippage, but what about interest? how is that calculated? Thanks
There is no explicit "fee for the interest rate" in the index futures, such as ES. Instead, the contract (almost always) trades at a premium to the corresponding cash index, reflecting the cost of "carry". That premium is indeed related to the risk free interest rate in the corresponding currency, and it converges to zero by the contract expiration.