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To: AD who wrote (6615)2/25/1999 10:24:00 AM
From: tom pope  Respond to of 12623
 
I wasn't very scientific about it - I just saw that the futures were about equal to the cash, so they had to be under fair value.

I think there is a site that gives fair value on the S&P, but it looks like I didn't bookmark it. Actually, the formula is not that complex and can be calculated in an excel spreadsheet - the variables are the value of the index, the dividend on the underlying stocks, the risk free interest rate, and the number of days to settlement. Now that you've stirred my interest, I'll look for a site that gives the formula and p/m you if you're interested.