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Strategies & Market Trends : Ask DrBob -- Ignore unavailable to you. Want to Upgrade?

To: louisa2 who wrote (4686)	9/14/2000 5:45:44 PM
From: Louis V. Lambrecht	Respond to of 100058

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?