Fair Value Calculator
Fair value is a popular calculation that quickly shows the relationship between a stock index futures contract and the underlying stock index.
Traders use fair value as a tool in determining whether the futures contract is overpriced or underpriced.
The fair value calculation on the Lind-Waldock Web site is computed daily (using three different interest rates) for the front three months of the Standard & Poor's 500® index and the Dow Jones Industrial AverageSM.
U.S. Stock Index Futures Premium
| For 09/03 | Premium at EuroDollar | Premium at T-Bill Rate | Premium at Eurodollar + T-Bill Averages | Dividend Points | Days to Expiration |
| S&P 500® | |||||
| SPU10 | -.9 @ .32% | -.9 @ .13% | -.9 @ .22% | .99 | 13 |
| SPZ10 | -6.8 @ .30% | -6.8 @ .13% | -6.8 @ .21% | 6.78 | 0 |
| SPH11 | -13.0 @ .30% | -13.0 @ .13% | -13.0 @ .21% | 12.97 | 0 |
| Dow Jones Industrial AverageSM | |||||
| DJU10 | -9.3 @ .32% | -10.0 @ .13% | -9.6 @ .22% | 10.44 | 13 |
| DJZ10 | -84.6 @ .30% | -84.6 @ .13% | -84.6 @ .21% | 84.58 | 0 |
| DJH11 | ***** @ .30% | ***** @ .13% | ***** @ .21% | 159.27 | 0 |
CFTC NOTICE REQUIREMENT
HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE ACTUAL PERFORMANCE RECORDS, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. THE RISK OF LOSS IN FUTURES TRADING CAN BE SUBSTANTIAL. YOU SHOULD CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. THERE IS A RISK OF LOSS IN FUTURES TRADING.
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S&P 500® is a trademark of The McGraw Hill Companies, Inc. and has been licensed for use by the Chicago Mercantile Exchange®.
Dow JonesSM and Dow Jones Industrial AverageSM are service marks of Dow Jones & Company and have been licensed for use for certain purposes by the Board of Trade of the City of Chicago.
