NQ March contract Arb

Discussion in 'Index Futures' started by ElectricSavant, Dec 7, 2003.

  1. By looking at the next contract which is now available for trading but not the custom for speculators to trade yet. Can this indicate the bias that NQ will be a higher open at its customary rollover time? (during that week when volume takes over)

    Another question if one thinks the NQ will go lower could one trade the forward contract at the high extremes and wait?

    I see a 40 point range in the March and I also note it was trading down during the session...its open was its high.


    e-mini nasdaq-100 futures
    settlement prices as of 12/05/03 07:00 pm (cst)

    MTH OPEN HIGH LOW LAST

    DEC03 1423.50 1428.00 1405.00 1410.00
    MAR04 1448.50 1448.50 1408.50 1413.00


    Michael B.
     
  2. ggg

    ggg

    Sorry, no. The back month's prices will nearly always be the front month's price + short-term interest, and with a larger spread. If they aren't by any significant amount, somebody'll knock'm back in line because it's an obvious opportunity for low risk profit.

    Of course you could, and if your commissions are high enough, that'd always the best way to go. Otherwise, consider what the interest rate portion does to the price, and consider the possibilities of doing the front month, and then doing the spread contract to roll the position to the next expiration.

    You probably want to take a look at the live quotes instead of a report of what was traded.. Since the back month's volume isn't very high, a lot of prices will end up quoted that don't trade.
     
  3. Thank you so much for your concise clear answers ggg. By the way welcome to ET.

    Michael B.