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Strategies & Market Trends : Bonds, Currencies, Commodities and Index Futures -- Ignore unavailable to you. Want to Upgrade?

To: OX who wrote (2562)	2/6/2003 12:04:04 PM
From: Louis V. Lambrecht	Read Replies (2) \| Respond to of 12411

Uh! simple relationship (such as equity index futures). Geez! I use FV = Cash [1+((R-D)*(days/360))] cash = underlaying close of cash index With R risk-free interest (some use Libor, I observed that front month fed futures are used by the media, and as I trade against the crowd... I keep the figures of the broad media) With D = dividend yield days = days remaining till expiration divided by 360 = financial year (also closer to the broad media calculations than the 365 days year). We already have two elements for which the discussion can be endless. What makes a market. <vbg> For futures pricing, I also observed that most gurus, writers, analysts use the Black (1976) model. Here is a link agecon.uga.edu when searching, put as NOT include Scholes. Simple! Geez! I still can't calculate which strike at which premium and how much contracts at which month further out have the best risk/reward ratio. I have the impression I still am dart throwing anytime I think to have found a strategy. <vbg>