DAX premium, fair value - Emini Index Futures Trading | futures io social day trading
futures io futures trading

DAX premium, fair value
Updated: Views / Replies:2,711 / 4
Created: by rcabri Attachments:1

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Thread Tools Search this Thread

DAX premium, fair value

  #1 (permalink)
Elite Member
Futures Experience: Advanced
Platform: ninja trader CQG Trader
Broker/Data: Kinetick, IB
Favorite Futures: NQ DAX CL
Posts: 153 since Nov 2010
Thanks: 967 given, 122 received

DAX premium, fair value

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,
Thanks rcabri

Reply With Quote
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

  #3 (permalink)
Elite Member
Berlin, Europe
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
Fat Tails's Avatar
Posts: 9,691 since Mar 2010
Thanks: 4,228 given, 25,776 received
Forum Reputation: Legendary

This post has been selected as an answer to the original posters question Answer

rcabri View Post
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

Last edited by Fat Tails; December 23rd, 2012 at 07:56 AM.
Reply With Quote
The following 6 users say Thank You to Fat Tails for this post:
  #4 (permalink)
Elite Member
Futures Experience: Advanced
Platform: ninja trader CQG Trader
Broker/Data: Kinetick, IB
Favorite Futures: NQ DAX CL
Posts: 153 since Nov 2010
Thanks: 967 given, 122 received

@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

Attached Thumbnails
DAX premium, fair value-premium.png  
Reply With Quote
  #5 (permalink)
Trading Apprentice
Futures Experience: Intermediate
Platform: Xtrader
Favorite Futures: Fdax
Posts: 1 since Feb 2016
Thanks: 0 given, 0 received

Dax Futures Fair Value


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



Last edited by tancwkev; April 23rd, 2018 at 05:49 AM. Reason: forget to include Tn value
Reply With Quote


futures io > > > > DAX premium, fair value

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Upcoming Webinars and Events (4:30PM ET unless noted)

July Journal Challenge - $500 in Amazon Gift Cards!


Current Events in Commodity Markets: Influence & Crowd Psychology w/IQFeed

Jul 12

AXESS Trader: Powerful cloud Based Trading Platform w/GFF Brokers

Jul 17

TBA: FuturesTrader71 w/Morad Askar

Elite only

Similar Threads
Thread Thread Starter Forum Replies Last Post
Fair Market Value (FMV) Melissa Commodities Futures Trading 11 August 17th, 2016 04:41 PM
S&P 500 Premium Symbol???? fesx Traders Hideout 6 October 17th, 2014 08:26 AM
Dax premium rcabri Emini Index Futures Trading 3 December 19th, 2012 06:41 AM
Is EUR euphoria premium to be priced out? Quick Summary News and Current Events 0 October 31st, 2011 03:38 AM
Fair price for ATS Zoethecus Trading Reviews and Vendors 64 October 21st, 2010 04:59 PM

All times are GMT -4. The time now is 02:26 AM. (this page content is cached, log in for real-time version)

Copyright © 2018 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2018-07-12 in 0.11 seconds with 23 queries on phoenix