how are index futures priced with respect to the cash index

Discussion in 'Index Futures' started by Bluegar3, Jan 6, 2008.

  1. I understand that the difference between the futures and the cash is dependent upon the interest rate (for the cost of carry) but does volatility have anything to do w/ it?
  2. No, but high volatility can produce a wider bid-ask spread.
  3. I noticed the the cost of carry on the Mar ES EMinis suddenly dropped a couple of days ago. The Emini is trading about 4 points higher than cash where as is should be around 9 points higher as it was early last week.

    Anyone else noticed the same?
  4. Prevail

    Prevail Guest

    it doesn't always close in alignment.