设万维读者为首页 广告服务 联系我们 关于万维
简体 繁体 手机版
分类广告
版主:股民甲远古的风
万维读者网 > 股市财经 > 帖子
this post is the answer to
送交者: ItsScheme 2009年01月20日15:57:58 于 [股市财经] 发送悄悄话
the question about spx index in relation to its futures. i post it here because it is necessary to explain how to hedge the mortgage rate as free2005 often asked here. Per futures definition, it equals to the cash index price plus the carry cost minus dividend index received. The carry cost here is the risk free interest rate. That is: Futures = Index + Interest - Dividend. When interest (when rate is high) is great than dividend, futures price will carry a positive premium, for example, it was at 14 points premium at end of 2007 for 3 month futures. On the other hand, when dividend is great than interest (when rate is low such as now), then futures will carry a negative premium such as now at 2.5 points for 3 month futures. Meantime, index options in relation to futures options will have to adjust this premium as well. During the regular trading session, under no circumstance should this relationship widen a lot, or arbitragers will move in instantly through program trading. After hour trading often leads to wide spread due to illiquidity of the each component of the index. When approaching the futures expiration, index and its futures will converge and eventually settle at same price.
100%(99)
0%(0)
  thank you for resovling the - 水滴~ 01/22/09 (196)
    thank you very much for your - efinancialgame 01/22/09 (180)
  this is really good, thanks  /无内容 - Yani 01/21/09 (178)
  Take an English course first - Press1forEnglish 01/20/09 (351)
    Another low life NEW born baby - ItsScheme 01/20/09 (300)
      I am sorry... - Press1forEnglish 01/24/09 (160)
      Only dumbass laughed at my - k19 01/20/09 (206)
  this post is for free2005 - efinancialgame 01/20/09 (223)
    what is the margin requirment - Yani 01/21/09 (190)
      i remember it is not much - ItsScheme 01/21/09 (208)
        then on percentage wise - Yani 01/22/09 (202)
          that is what i was saying many - ItsScheme 01/22/09 (214)
绗� 鍚� (蹇呴€夐」): 瀵� 鐮� (蹇呴€夐」): 娉ㄥ唽鏂扮敤鎴�
标 题 (必选项):
内 容 (选填项):
瀛椾綋
瀛楀彿
实用资讯
回国机票$360起 | 商务舱省$200 | 全球最佳航空公司出炉:海航获五星
海外华人福利!在线看陈建斌《三叉戟》热血归回 豪情筑梦 高清免费看 无地区限制
一周点击热帖 更多>>
1 2023骞村叏鐞冨晢涓氬ぇ浜嬭 灏冬姝愭泜
2 澶栨眹浜ゆ槗璇剧▼鍜屽疄鎴樿棰�14 杩锋€�
3 澶栨眹浜ゆ槗璇剧▼鍜屽疄鎴樿棰�15 杩锋€�
4 澶栨眹浜ゆ槗璇剧▼鍜屽疄鎴樿棰�16 杩锋€�
5 铻宠瀭鐨勬晠浜�-澶ч夯鍜嬩簡锛� 鐞嗚储鐓
6 铻宠瀭鐨勬晠浜�-濂嬫枟绡� 鐞嗚储鐓
7 涓€鍛ㄥ競鍦烘憳瑕�(Dec26-29): 鏈懆鍊� 鐞嗚储鐓
8 澶栨眹浜ゆ槗璇剧▼鍜屽疄鎴樿棰�17 杩锋€�
9 ​铻宠瀭鐨勬晠浜�--杩欎箞澶氭氮璐� 鐞嗚储鐓
10 2024鏂伴鍙� 绾界害浣曞摬
一周回复热帖
1 鐑儓绁濊春绗竴灞奝FPA閲戣瀺骞翠細鍦ㄤ簹 WillyRong
2 濡備綍浣跨敤Lemf鎹㈡眹100鍒€杩�30鍒€缇� lelouch
3 TRV2024 Proposal to Improve Ex 姣旇緝鏀跨瓥
4 鏀硅繘The Travelers Companies/鏃� 姣旇緝鏀跨瓥
5 瑕佹墦浠椾簡銆傘€傘€� 甯惓
6 铻宠瀭鐨勬晠浜�-椋庨櫓绡� 鐞嗚储鐓
7 2024鏂伴鍙� 绾界害浣曞摬
8 涓夌嚎 搴锋澃
9 涓€鍛ㄤ竴鍥剧湅甯傚満(July17-21: 鐙 鐞嗚储鐓
10 銆婃槗缁忚鑲°€�7鏈�12鏃ヨ偂鎸囧崷璞¤В 閫稿灞呭+

鍏充簬鏈珯 | 骞垮憡鏈嶅姟 | 鑱旂郴鎴戜滑 | 鎷涜仒淇℃伅 | 缃戠珯瀵艰埅 | 闅愮淇濇姢

Copyright (C) 1998-2025. Creaders.NET. All Rights Reserved.