Yesterday I bought 5 x March 05 Dax Contracts at 5882.5 I know they rolled today but does anyone know what price I would have got for them in the June contract and how I find out that information. i.e. what price am I long the June contract?
Determine the closing price(s) for the last day(s) both March & June traded. Thencalculate the differential/average differential and extrapolate from their
As you all know, the March contract expired on Friday. Below are Friday's prices for the March and June contract. I got these from the Eurex website. Code: March June 5,926 5,932 (last traded) 5,925.39 5,915.5 (daily settlement) 5,882.38 (cash index) Questions: 1) When you back adjust the March contract, do you use the last traded price or the daily settlement price? 2) Why is the last traded for June > March, but the daily settlement for June < March? 3) Why isn't the March daily settlement price on the day of expiration the same as the cash index?