S&P 500 to SPX to SPY conversion formula

Discussion in 'Options' started by HitAndMissLab, Sep 9, 2024.

  1. you are right, +/- 0.1 SPY's point would be OK.
     
    #11     Sep 9, 2024
  2. Real Money

    Real Money

    Interesting. I did the research for this a while ago.

    This is a model for pricing the difference based on the risk-free rate and expected dividend.

    [​IMG]

    The basis actually contains an embedded floating interest rate.
     
    #12     Sep 11, 2024
    beginner66 and HitAndMissLab like this.