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DAX premium, fair value


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DAX premium, fair value

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  #1 (permalink)
Switzerland
 
Experience: Advanced
Platform: ninja trader CQG Trader
Broker: Kinetick, IB
Trading: NQ DAX CL
 
Posts: 153 since Nov 2010
Thanks: 967 given, 122 received

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

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  #3 (permalink)
Market Wizard
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rcabri View Post
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 Program Trading, Fair Value, Index Arbitrage Values - indexArb.com,
Today's Program Trading Buy/Sell Levels
Thanks rcabri

@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 current front month contract expires on March 15. Starting from Friday, December 21 you would interpolate the 2-month and 3-month Euribor ( Euribor rates - all information on Euribor)

2-month Euribor = 0.148%
3-month Euribor = 0.184%

and would get an interest rate of 0.180%

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

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  #4 (permalink)
Switzerland
 
Experience: Advanced
Platform: ninja trader CQG Trader
Broker: Kinetick, IB
Trading: NQ DAX CL
 
Posts: 153 since Nov 2010
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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

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  #5 (permalink)
Singapore
 
 
Posts: 1 since Feb 2016
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Hi,

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)

tn = 53 days to Contract expiration

Euribor rates
2-month = -0.341% (20 Apr 2018) -- R1, t1=38days to expiration
3-month = -0.328% (20 Apr 2018) -- R2, t2=68days to expiration

After substituting the values into the interest rate formula I get Rn = -0.00335

Therefore Dax futures Fair value = 12,549 x (1-0.00335) = 12,507

Am I getting it right??

Comments please

thanks

CW

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