Wrong Fair Value Premiums

Discussion in 'Trading' started by Ripley, Dec 21, 2005.

  1. Why is the real, true Fair Values so off from those published by some of those websites out there. What could possibly explain it? Isn't it just plugging in some numbers to a formula.

    http://www.programtrading.com/buysell.htm
     
  2. Programtrading is the best site for fair value calcs.

    Program levels will vary because the cost of money varies for each firm that uses it as a trigger. So if you watch carefully you will see programs trigger above and below fair value figures.

    Good luck
    Steve

    Please note: I am talking about program levels, not fair value
     
  3. I am just disappointed in all the websites. You cannot rely on any of them. They are always off 5 or 6 pts. I need to start calculating FV by myself. Which is hard to do since you have to put in the dividends and interest rates etc etc..
     
  4. Okay, I think you may be missing the point. Even if you calc Fair Value yourself, you will still see programs hitting above and below your figure. This is because the big brokerage houses all have different cost of money. This figures into WHERE they choose to activate program trading during the day. Also important to check out the info as to what stocks are subject to programs. That changes each day as well.

    Again I suggest you check out programtrading. Hank is a good guy and his services although expensive are worth it in my opinion, IF you want to learn to catch program trades.

    Good luck
    Steve
     
  5. The primary difference is the spread between "long money" (where you have extra cash and try to make a return of "X"), and "short money" (where you have to borrow $$ at a rate of "X+") to try to profit from the cost of carrying positions.

    Hank Camp (program trading) uses a "blended" rate, which is what I prefer...and it coincides very closely with the reality of eMini's and PREM.

    Don
     
  6. gekko

    gekko

    I think the best site (accurate) for fair value is

    www.indexarb.com


    Good luck
     
  7. Very close: 7.75 vs. 7.25 .....good site.

    Don
     
  8. Moreagr

    Moreagr

    which broker or data vendors support this information??? I have been looking for a company that will give me reliable and fast data including charts of the Prem. I know IB does not have this and was really hoping if someone can find tell us.

    TIA
     
  9. ozzy

    ozzy

    Anyone have yesterdays (Wednesday's) PREM values for ER2/RUT from either or both of these vendors. It seems like neither of the sites posts up the free numbers for the ER2.

    Just doing a little a little experiment.

    Thanks
    ozzy

    P.S this information is expensive, it doesn't seem to complicated to calculate these numbers (should be able to do this in house, no?). What else does this service provide to justify the cost of this data? TIA.
     
  10. We have our own DDE link charts that show this information. The raw data comes included in our RediPlus package. Check www.programtrading.com - as they list the vendor's and the symbols they use.

    Don
     
    #10     Dec 22, 2005