My SB firm quoting 5447.5/5449.5 for rolling cash FTSE & 5431/5435 for the March future. These prices should converge as as time moves closer to expiry. If I short the cash and buy the future it looks like an arb opportunity.
For example based on £10 per point, activley managing stop losses either side to say 150 points i.e. moving them as the prices move and therefore not getting closed out. Therefore £1500 required on deposit.
I understand that the future is settled by auction and therefore cannot exit at settlement exactly, but surely the prices will converge enough at close the day prior to settlement. Try and lock in say 10 of the 12.5 points, profit would = £100.00.
I understand that I have to pay financing for the rolling bet (recently I was charged 0.24p overnight for a £1 rolling ftse bet). On that basis £2.40 per day, 11 days of trading left x 2.40p = £24.00. Would not kill all the profit.
I have been told that cost of carry means this is not possible. I could not invest the cash to receive sufficient interest in 11 days. Would dividends effect the bet, its not like I could but a basket of the 100 stocks anyway with the cash involved.
I must still have this wrong somewhere - can anyone give sensible advice as to why?
For example based on £10 per point, activley managing stop losses either side to say 150 points i.e. moving them as the prices move and therefore not getting closed out. Therefore £1500 required on deposit.
I understand that the future is settled by auction and therefore cannot exit at settlement exactly, but surely the prices will converge enough at close the day prior to settlement. Try and lock in say 10 of the 12.5 points, profit would = £100.00.
I understand that I have to pay financing for the rolling bet (recently I was charged 0.24p overnight for a £1 rolling ftse bet). On that basis £2.40 per day, 11 days of trading left x 2.40p = £24.00. Would not kill all the profit.
I have been told that cost of carry means this is not possible. I could not invest the cash to receive sufficient interest in 11 days. Would dividends effect the bet, its not like I could but a basket of the 100 stocks anyway with the cash involved.
I must still have this wrong somewhere - can anyone give sensible advice as to why?
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