Timepremium difference

Discussion in 'Index Futures' started by Pekelo, Aug 10, 2006.

  1. Pekelo


    Why is the timepremium between the ES/SPX is bigger than the YM/DJX? Is it because the premium is caused by the dividens and SPX has more companies in it??
  2. MTE


    Yes, cost of carry includes dividends so different yields would mean different cost of carry.
  3. Pekelo


    The interesting thing is that the premium yesterdey for ES/SPX was 4.5 points and YM?DJX 30 (which is 3 ES points).

    Can be some kind of strategy worked out to take advantage of this? (because they tend to move together)

    Also today the ES/SPX premium collapsed and it was down to 3 ES points, thus there was no longer difference between the two.

    So I guess with some kind of arbitation a 1.5 or so points could have been made...