Hi
Somebody know where I can find the fair value buy premium and sell premium for the DAX future for example for the ES I am using these 2 good places http://www.indexarb.com/index.html,
http://www.programtrading.com/buysell.htm
Thanks rcabri
Can you help answer these questions from other members on futures io?
@rcabri: The DAX is a performance index, which means that dividends paid are reinvested at the end of the trading day. This simplifies the fair value calculation for the DAX future as you do not need to take into account the dividends paid.
The index value for the DAX at the close of the Xetra session on last Friday was 7636.23. If you add the interest of 0.180% which is due until expiry, the fair value can be calculated as
fair value = 7636.23 (1 + 0.00180) = 7649.98 points
The FDAX settled at 7653.5 points, which would be 3.5 points above fair value.
This is certainly not a perfect calculation, but it gives you an idea
-> why the FDAX always trades at a premium to the DAX index (as long as interest rates are positive)
-> how you can make an estimation of the fair value
If you want to know an exact value, you would need
-> take into account the exact settlement times for the XETRA DAX and FDAX
-> the know the exact interest rates paid or received by arbitrageurs
-> take into account transaction costs
The following 6 users say Thank You to Fat Tails for this post:
Hi,
@Fat Tails thanks for the answer but I was asking that because having Kinetic for data feed I have 2 instruments one is ^PREM.Z that's the premium for the e-mini ES and the other is ^PRDA.Z that's the premium for the DAX.
For the first I have no problem to find the level of buy and sell program for the ES and I apply a little audio alert with market analyzer that I find useful during the day but for the DAX I have some problem to find web pages with buy and sell level
Thanks
I am attempting to calculate the Fair value of the Dax Futures. I am not sure if I am getting it right, especially in calculating the interest rate. Any comments are welcomed.
FDAX last Settlement Price 12,549 (20 Apr 2018)
Interest rate formula
Rn = R1+[(R2-R1)/(t2-t1)]x(tn-t1)
