Trading the SPOOs with Patrick Slevin! Message Board

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Strategies & Market Trends : Trading the SPOOs with Patrick Slevin!

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To: Gary E who wrote (6820)	9/17/2001 6:57:02 PM
From: Louis V. Lambrecht	Read Replies (1) of 7434

H.G - blame interest rates. Fair value: cme.com Interest used in the formula - at last the one used by the media and the data feed in order to calculate the premium PREM and EPREM - is the one of the 30 days fed fund. 3.195% as for today. I have Dec spoo, FV = 1043.65, premium to cash 4.92, Naz FV = 1262.87, premium to cash 10.34 Indeed I also was used to jump 20pts in FV at rollover.

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