HSI Calendar Spreads

no time to make a long post but simply put you are overlooking dividends.

F= Cash + Interest - Dividends

There are some large dividends that will pay out in March

 

Ok, thanks def, this was the kind of response I was hoping for

 

Yes but if 50 points a month can be made with minimal risk, then scaling up wouldn't be a problem

 

def pointed the short version of the solution out: the theoretical pricing. I was jumping allready a step or two ahead. Try to make some theoretical calculations of contracts in a spreadsheat. You will see that the spread reflects the difference in intrestrates (when a dividend goes ex, it changes both contract prices). You can't really gain or lose much, better to play some sort of short hk dollar future play (if that exists ?). In other words this makes no sense.

 

Yes, now I understand why. By short hk dollar do you mean short HK long dollar? What does that have to do with spreading HSI?

 

i meant the short intrest rate future.