S&P in June

Discussion in 'Options' started by TimeCorrosion, Jan 19, 2010.

  1. Looking at ES June quote, which is 1130.50, I did a simple risk-free interest rate discount assuming r=0.0025 and 150 days approximately.

    I get 1131.68.

    Either everyone is thinking S&P will drop, or my calculation is wrong; more likely the latter.

    Comments?
     
  2. MTE

    MTE

    You forgot to take into account the dividends. Also, futures trade at a discount to the spot because the dividend yield (currently at around 2%) is greater than the risk free rate.

    Doing a manual rough calculation with 150 days for Jun futures I get a discount of 8.14 pts to the spot price as of Friday's close.
     
  3. 1) Were you looking at a "stale" quote?
    2) .....it's the latter. :cool: