IB 市场摘要

The fair value of an index futures contract is computed by combining all the underlying values, adding an interest cost of carry for the duration of the futures contract, and subtracting any dividends that are paid during the duration of the futures contract. The table above compares near futures contracts with the fair value of the underlying representing a contract. When a futures price is greater than the fair value, there is a premium, indicating that the market believes there is a potential for increase in the underlying price or a decrease in the futures price. When a futures price is less than the fair value, there is a discount indicating the market believes there is a potential for a decrease in the underlying price or an increase in the futures price.


Futures Arbitrage
IndexCashExpiryFair Market
Price
FutureFair Value
Spread
Basis
Spread
Disc or Prem
/ %
S&P 500(SPX) 2,574.89 Dec 17 N/A N/A N/A N/A 0.0253
NASDAQ 100(NDX) N/A Dec 17 N/A N/A N/A N/A N/A
DJ Ind Avg(INDU) 23,379.00 Dec 17 N/A N/A N/A N/A N/A
FTSE 100(Z) N/A Dec 17 N/A N/A N/A N/A N/A
DAX 30(DAX) 13,217.50 Dec 17 N/A N/A N/A N/A N/A
Swiss Market(SMI) 9,252.40 Dec 17 N/A 9,244.00 N/A -8.40 N/A
CAC 40(CAC40) N/A Nov 17 N/A N/A N/A N/A N/A
S&P/ASX 200(SPI) N/A Dec 17 N/A N/A N/A N/A N/A
Nikkei Dow(N225) 22,011.61 Dec 17 22,209.70 22,210.00 198.09 198.39 0.3030
0.0014%
Hang Seng(HSI) N/A Nov 17 N/A 28,257.00 N/A N/A N/A
As of: Tue, 10 Sep 2019 12:04 PM EDT. Tables updated every 15 minutes. Data available real-time to IB customers in Trader Workstation API
Disclosures

Note: The material presented in this commentary is provided for informational purposes only and is based upon information that is considered to be reliable. However, neither Interactive Brokers LLC nor its affiliates warrant its completeness, accuracy or adequacy and it should not be relied upon as such. Neither IB nor its affiliates are responsible for any errors or omissions or for results obtained from the use of this information. Past performance is not necessarily indicative of future results.

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