louisa - my observations on the futures $0.02
Fair value ((management summary) is the value of the cash index plus interest rates and dividends till expiration.
cme.com
My formula has FV Naz-100 3799 (62 pts above cash close), SP 1481 (20 pts above cash close).
As a rule of thumb (as we have no up to the tick quotations): one can reasonably assume that cash index will trend to value of the future, less fair value premium.
As a rule of thumb, as there remains 91 days until Dec 15 expiration, each passing day would reduce fair value premium by 1/90th (to be equal to zero on Dec 15). Monday, fair value would decrease by 1/88th, Tue 1/87th,.....
That fair value premium varies with the index (or futures) as this is a factor.
Hence today 60pts, tomorrow 62pts.
Fair value is calculated tick by tick, hence, for tomorrow at open you already should substract 1/90th from the futures at open... but my formula is not that accurate.
Futures are traded almost 24/24. Normal session starts 09:30 ET with the market and switches at close on the Globex (or ETH, electronic trading hours). CME closes the ETH between 23:00 and 24:00 for maintenance, but ETH remains open ?!?! (more on the CME site).
How important is that ETH, IMHO not significative until 04:00 am = around 10:00 am for the European markets(unsignificant volume throughout the night).
lvlamb.itgo.com
As (unsignificant) trades took place during the night, and prices are off "normal" trading, between 06:00 and 09:15 (end of the ETH session) trading (still relatively light) trends to price back to "normal" and it is not uncommon to see swings of 100pts in these 3 hours.
Also, futures are only an indication of the trend.
Today's open was exceptionally on target, other sessions open mostly in the same direction (not percentage) as the futures, some time in a totally opposite direction. (Have observed +40 above FV opening lower).
Most volume is traded 09:00 to 10:00 am and 14:30 to 15:30 am. Same time as most significant moves of the Naz.
Now, is it really usefull to read all this? |
