I saw the s&p premium at 9.0+ on the open this morning. Usually don't see it that high. Am curious - how usual is a number this high? Also on the low side does it ever go negative? Have seen it as low as 0.08 which coincides with the lows of today more or less.
Just before or at the open, the premium can be pretty wide if there was a sharp overnight move in the futures since it's computed against the previous day's closing cash index until the current cash index starts getting updated after the open. All it means is that the cash market's going to gap wide - depends on market dynamics whether everyone immediately fades it or jumps in the direction and goes with it.