Forum: Emini and Emicro Index
October 15th, 2010, 07:14 AM
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Replies: 15
Views: 15,676
You are kidding.
I believe that there is...
You are kidding.
I believe that there is little direct arbitrage and that advanced order execution algorithms take care of the problem. I can imagine several configurations where you do not need...
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Forum: Emini and Emicro Index
September 21st, 2010, 10:44 AM
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Replies: 15
Views: 15,676
Of course it is arbitrage. If the futures...
Of course it is arbitrage. If the futures contract deviates from the fair value you can make a risk-free profit.
Let us say ES trades 1 point (4 ticks) above its fair value. Sell ES and buy the...
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Forum: Emini and Emicro Index
September 21st, 2010, 09:44 AM
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Replies: 15
Views: 15,676
At the expiry date, the futures price and the...
At the expiry date, the futures price and the price of the underlying converge. This is what makes arbitrage possible. Indeed, you can calculate the futures price at "fair value", which would be
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Forum: Emini and Emicro Index
September 20th, 2010, 03:29 AM
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Replies: 15
Views: 15,676
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