Prem / Discount of SP futures / cash

Discussion in 'Stocks' started by ProgrammerGuy, Sep 30, 2007.

  1. There's a calculation where you take the S&P cash market * (1 + (Interest Rate of buying stock - dividends of stock));

    I'm not looking for the fair value calcuation at the beginning of the day. I'm looking for the Premium / discount as the market trades. Does anyone know of any data provider that supplies this?

    Thanks
     
  2. Surdo

    Surdo

    Why, it's usless information.
    You need about $50 Million to Arb the Cash basket of stocks vs futures to make it worth your while.


    $PREM on most platforms
     
  3. doli

    doli

    Some data providers have a premium ticker.
    Without that, you can just use the difference between
    the cash index and futures to determine the premium
    at any moment, assuming you have or can generate
    a fast cash ticker. But, like an earlier poster mentioned,
    it takes deep pockets, fast data and minimal transaction
    fees to do arb.
     
  4. the only reason why I want this is because Don Bright uses this information somehow to filter entries and to exit trades I guessing. I'd like to fool around with it.

    Thanks for the info guy.
     
  5. actually what I was looking at was...

    Taking the S&P cash + 1 * (Interest to buy stocks - Dividends) then comparing this to the S&P futures.

    The thing is... I'm not sure where to get the value for interest and dividends
     
  6. Surdo

    Surdo

    This should keep you busy for an hour!

    http://www.indexarb.com/cgibin/iacb.cgi
     
  7. doli

    doli

    Don Bright may use the information for opening only orders.
    If the market is going to gap, as determined by a read of
    the futures as close to the open as possible, then it may
    be possible to estimate the prices of some of the component
    stocks based on the premium of the futures just before the
    opening only orders are submitted. If you can get a good
    estimate of the opening prices of the components, you may
    be able to make some money. As with everything on the internet,
    don\\\'t believe me. Ask Don Bright to be sure.

    p.s. Making money with opening only orders is also capital intensive.