Pabst Blue Ribbon

Discussion in 'Index Futures' started by Banjo, Nov 6, 2003.

  1. Banjo


    Hey Pabst, I notice troughout the day that the SPX & ES have a couple point spread re: their plus or minus #"s, i.e. the SPX will be +5 and the ES +3. The NDX & NQ have approx. a 10 point spread. NDX may be +5 and NQ-5 . Any reason for the diff point spreads in the two you are aware of? tia.
    Quest is obviously open to anybody, I just know Pabst is an ex pitter.

    btw, the way they dump this stuff and then run the wheels off it into eod is a trip.
  2. Future dividends, among other things.

    Edit : I just noticed that you were talking about the difference in the daily price change, and not between the cash index (SPX) and the futures price (ES) which I've tried explaining above. I therefore have no answer to your question, sorry.
  3. The change is based upon the change in "sentiment" in the futures contract vs the cash.

    As you probably well know, the premium can fluctuate due to sentiment, days till the contract expires, ex-dividend flow in the index, and assumptions on short-term interest rates.

    Hope this helps.
  4. The difference in net is mostly just due to the fact that the cash markets close at 4:00 PM. Eastern, but the futures close at 4:15 Eastern. Because the price doesn't always end at 4:15 at the 4:00 level, there is a disparity.

    Look at the ES price at 4:00 today. It was in the vicinity of 1057.25, yet today's settlement price for the SP is 1058.8, which gives an approximate 1.5 implied net difference that should show up throughout the day tomorrow.
  5. Pabst


    Tripack is the only one to get it right! Nice job bro!! Yesterday's late surge in ES and NQ propelled futures to a significant premium over the already closed for the day cash market. SPX closed at 1051.81 as opposed to ES's close of 1053.50. With a fair value of futures being about a point discount to cash, SPX had to rally 3 pts more than ES today to get "back in line." A similar condition occurred in NQ. The close of cash Wed. of 1029 was 12pts below the contract or about 7pts below fair value. Thus todays 11pt rally in the Naz100 coupled with NQ's 6pt rally put things back into fair value.

    Usually news (i.e. earnings after the bell) or a large MOC order in futures are the most prevalent factors for moving futures after the NY close. Limited arb trading may still occur in the thin mid afternoon equity markets, but of course that price information is transparent to the cash indices which are computed for the final time of the day, based on the 4PM. EDT close.
  6. Banjo


    Thanks guys. It was one of those things I notice and forget to ask about .