>>What is fair value when the market is about to open...
They are referring to the relationship between the S&P 500 cash market and the active month S&P future. Goes like this: the cost of buying all the stocks in the 500 + the interest carry - dividends received = $X. The spread between $X and the S&P cash reaches zero at expiry; right now I think the June future has a 'fair value' of 3 points over cash. If it trades at say 7 points over, the market is called at a 'premium' and you might expect buy programs. Conversely, if it is trading at or below 'cash' you would say it's at a discount, and you would expect sell programs. That's the short answer.
Quiet day for Ballard--only a $13 range. Some news came out around lunch which goosed it up smartly off the lows, but it looked like old news to me. Whatever. Vols still holding. (80,75)
Barrick and gold deserved a rest after the strong run-up...call vols got creamed as people rushed to sell their longs; writers showed up in the out-of-the-moneys as well. We've now got a negative curve. (39,41)
Bell broke down through the support at $58 and traded as low as $56.75, which is near its first support level, which I make $56.50. If it breaks that, it's Katy-bar-the-door. (24,25)
Inco continues to be a non-event. Vols dropped out of boredom. (39,40)
I don't like my chances of suing the TSE. They have at least 30 lawyers on staff. Let's see how they come off in the Bre-X suits first.
Happy trading.
Porter |
