the 'Fair Value' beloved of SB companies is comprised of two items the 'cost of carry' to the expiry of the futures AND the value of all dividends between now and the Futures expiry expressed in index points. I.e a 3p vodafone dividend may be worth about 4 FTSE points etc.
Simon
I appreciate that the 'cost of carry' may be exclusive to SB companies but is not the value of dividends also included in the Liffe ftse future? If so should not the rolling ftse daily be nearer to the liffe daily ftse future?
Thank you for your patience with my questions. I wish you a pleasant holiday but hope you do not spent it at the airport..
Regards
bracke
Simon
I appreciate that the 'cost of carry' may be exclusive to SB companies but is not the value of dividends also included in the Liffe ftse future? If so should not the rolling ftse daily be nearer to the liffe daily ftse future?
Thank you for your patience with my questions. I wish you a pleasant holiday but hope you do not spent it at the airport..
Regards
bracke