Silicon Investor (SI) -- The First Internet Community

STOCKTALK

We've detected that you're using an ad content blocking browser plug-in or feature. Ads provide a critical source of revenue to the continued operation of Silicon Investor. We ask that you disable ad blocking while on Silicon Investor in the best interests of our community. If you are not using an ad blocker but are still receiving this message, make sure your browser's tracking protection is set to the 'standard' level.

Strategies & Market Trends : The Epic American Credit and Bond Bubble Laboratory -- Ignore unavailable to you. Want to Upgrade?

To: mishedlo who wrote (43486)	10/14/2005 2:15:36 PM
From: Win-Lose-Draw	Read Replies (2) \| Respond to of 110194

You are telling me it should converge then you seem to be telling him a discount should be expected. Long before expiry: contango Shortly before expiry: backwardation At expiry: convergence, biased towards backwardation. The relationship between future and underlying is not constant. The longer the time until expiry, the greater the chance of catching an upward spike, the shorter the time until expiry, the greater the chance of catching a downward drift. ...5 or 6 points sounds significant... The VIX future has a multiplier of 10. Five points is the difference between eg 12.3 and 12.8, or $50/contract. Given the inputs to the pricing model have a maximum resolution of barely 10 cents, I don't think it's reasonable to expect a tighter match than that.