The "interest rate" of the Index futures

Discussion in 'Index Futures' started by Sky123987, Nov 22, 2007.

  1. I thought that the interest rate was equivalent to the margin rate.

    For example if you were to borrow money on margin you'd probably expect to pay somewhere near 6%. So..

    If the Dow CASH index was @ 12815, and if you were to buy a index future that expires (1) yr you could expect to pay 12815 + (12815 * .06) or 13584.

    However Currently the cash dow is trading @ 12815 and the Dow futures that expire in JUNE are trading at 12976. To calculate the interest rate:
    ((12976 - 12815) / 12815) * 100 or 1.26% per 6 mo. or a real interest rate of 2.52% / yr.

    Seems too low... what am I doing wrong?
  2. Daal


  3. cvds16


    Also you seem to be forgetting dividends
  4. wouldn't i be collecting dividends? that would make the "interest rate " lower
  5. rcj