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index futures.
PROGRAM TRADING VALUES VS. TIME NASDAQ 100 DEC 2021 IndexArb Values vs. Time Nasdaq 100 DEC 2021 Futures Contract FAIR VALUE DECOMPOSITION BY INDEX FUTURES Fair value has two components: interest on the index (i.e., cost of carry) and dividends earned. These two components for each index futures are updated daily and presented for easy comparison. DIVIDEND YIELD FOR DOW JONES IND. AVG. STOCKS, SORTED BY Index stocks and their price, estimated dividend, yield, and bar graph are updated daily. Table can be sorted by stock name or yield. INDEXARB INSTITUTIONAL DESCRIPTION Dividend Forecast with Juxtaposed History Forecast is for the next two years. History is from 1998. The Forecast/History juxtaposition visually reveals dividend growth and ex-dividend date patterns and, more importantly, any deviations (positive or negative) with respectto the past.
DIVIDEND YIELD FOR S&P 500 STOCKS, SORTED A note of explanation to our readers. For many years, this webpage contained the dividend yields for all stocks in the S&P 500 index. Recently, Standard & Poor’s felt that this information infringed on their intellectual property and insisted on some changes. Accordingly, we have executed a new contract with S&P that limits the number of DOW JONES INDUSTRIAL AVERAGE (SM) COMPONENT WEIGHTS 98.98. 30. Cisco Systems. 1.02. 100.00. Sorted by Stock. (The following table is sorted by stock name. Rank is from the largest to the smallest weight in the index, coded as. 1 to 30, respectively. DIVIDEND YIELD FOR DOW JONES STOCKS, SORTED BY STOCK Index stocks and their price, estimated dividend, yield, and bar graph are updated daily. Table can be sorted by stock name or yield. PROGRAM TRADING, FAIR VALUE, INDEX ARBITRAGE VALUESFUTURES SELECTORFURTHER DESCRIPTIONSSTOCK PERFORMANCE VS. INDEXESHELP Program trading values, Fair value, index arbitrage values, and program trading probability graphs are updated daily. Index metrics include stock listings sorted by price change vs. the index, dividend yield, weight in the index, and capitalization. A calculator facilitates program trading what PROGRAM TRADING VALUES VS. TIME S&P 500 DEC 2021 FUTURES IndexArb Values vs. Time S&P 500 DEC 2021 Futures Contract PROGRAM TRADING VALUES VS. TIME DOW JONES DEC 2021 FUTURES Graph of index arbitrage program trading values vs. time, updated daily for all listed S&P 500, Nasdaq 100, Dow Jones Industrial Averageindex futures.
PROGRAM TRADING VALUES VS. TIME NASDAQ 100 DEC 2021 IndexArb Values vs. Time Nasdaq 100 DEC 2021 Futures Contract FAIR VALUE DECOMPOSITION BY INDEX FUTURES Fair value has two components: interest on the index (i.e., cost of carry) and dividends earned. These two components for each index futures are updated daily and presented for easy comparison. DIVIDEND YIELD FOR DOW JONES IND. AVG. STOCKS, SORTED BY Index stocks and their price, estimated dividend, yield, and bar graph are updated daily. Table can be sorted by stock name or yield. INDEXARB INSTITUTIONAL DESCRIPTION Dividend Forecast with Juxtaposed History Forecast is for the next two years. History is from 1998. The Forecast/History juxtaposition visually reveals dividend growth and ex-dividend date patterns and, more importantly, any deviations (positive or negative) with respectto the past.
DIVIDEND YIELD FOR S&P 500 STOCKS, SORTED A note of explanation to our readers. For many years, this webpage contained the dividend yields for all stocks in the S&P 500 index. Recently, Standard & Poor’s felt that this information infringed on their intellectual property and insisted on some changes. Accordingly, we have executed a new contract with S&P that limits the number of DOW JONES INDUSTRIAL AVERAGE (SM) COMPONENT WEIGHTS 98.98. 30. Cisco Systems. 1.02. 100.00. Sorted by Stock. (The following table is sorted by stock name. Rank is from the largest to the smallest weight in the index, coded as. 1 to 30, respectively. DIVIDEND YIELD FOR DOW JONES STOCKS, SORTED BY STOCK Index stocks and their price, estimated dividend, yield, and bar graph are updated daily. Table can be sorted by stock name or yield. DIVIDEND ANALYSIS SUMMARY BY INDEX Dividend analysis of the S&P 500, Nasdaq 100, and Dow Jones Industrial Average. Aggregate value and yield of each index. Total dividends and divisor adjusted dividends for index futures. All figures updateddaily.
PROGRAM TRADING VALUES VS. TIME DOW JONES DEC 2021 FUTURES Graph of index arbitrage program trading values vs. time, updated daily for all listed S&P 500, Nasdaq 100, Dow Jones Industrial Averageindex futures.
PROGRAM TRADING VALUES DISTANT MONTH FUTURES CONTRACTS Fair value, buy-sell index arbitrage program trading values, and program trading probability and decay-to-expiration graphs are updated daily. Index metrics include stock listings sorted by price change vs. the index, dividend yield, weight in the index, and capitalization. A calculator facilitates program trading what-if analyses. INDEXARB INSTITUTIONAL DESCRIPTION Dividend Forecast with Juxtaposed History Forecast is for the next two years. History is from 1998. The Forecast/History juxtaposition visually reveals dividend growth and ex-dividend date patterns and, more importantly, any deviations (positive or negative) with respectto the past.
INDEXARB INSTITUTIONAL SERVICES DEMO IndexArb Institutional Services Demo. Index arbitrage • Dividend capture and arbitrage • Fast cash index calculations PROGRAM TRADING VALUES VS. TIME NASDAQ 100 SEP 2021 IndexArb Values vs. Time Nasdaq 100 SEP 2021 Futures Contract PROGRAM TRADING VALUES VS. TIME S&P 500 SEP 2021 FUTURES IndexArb Values vs. Time S&P 500 SEP 2021 Futures ContractTERMS OF USAGE
Version 1.0. (4-28-2003) General Terms. Your viewing this site signifies your acceptance of the following Terms of Usage/Disclaimer. If you do not accept these terms, you should discontinue viewing this site. Ergo Inc. (hereafter known as Ergo) produces this web site, known as www.indexarb.com. Ergo reserves the right to alter theseTerms of
STOCK PERFORMANCE VS. INDEX PERFORMANCE FOR THE PAST THREE S&P 500, NASDAQ 100, Dow Jones Industrial Average stocks price change vs. the index change, updated daily for the time periods of one day, one month and three months and shown numerically and graphically. Performance statistics of max, min, INDEX ARBITRAGE PROGRAM TRADING CALCULATOR HELP Help page for the index arbitrage program trading calculator that allows users to calculate fair value and premium levels at which index arbitrage buy and sell program trades could occur, presenting the results in a probability graph. PROGRAM TRADING, FAIR VALUE, INDEX ARBITRAGE VALUESFUTURES SELECTORFURTHER DESCRIPTIONSSTOCK PERFORMANCE VS. INDEXESHELP Program trading values, Fair value, index arbitrage values, and program trading probability graphs are updated daily. Index metrics include stock listings sorted by price change vs. the index, dividend yield, weight in the index, and capitalization. A calculator facilitates program trading what FAIR VALUE DECOMPOSITION BY INDEX FUTURES Fair value has two components: interest on the index (i.e., cost of carry) and dividends earned. These two components for each index futures are updated daily and presented for easy comparison. PROGRAM TRADING VALUES VS. TIME DOW JONES SEP 2021 FUTURES Graph of index arbitrage program trading values vs. time, updated daily for all listed S&P 500, Nasdaq 100, Dow Jones Industrial Averageindex futures.
PROGRAM TRADING VALUES VS. TIME S&P 500 SEP 2021 FUTURES IndexArb Values vs. Time S&P 500 SEP 2021 Futures Contract PROGRAM TRADING VALUES VS. TIME NASDAQ 100 SEP 2021 IndexArb Values vs. Time Nasdaq 100 SEP 2021 Futures Contract DIVIDEND YIELD FOR NASDAQ 100 STOCKS, SORTED BY YIELD Index stocks and their price, estimated dividend, yield, and bar graph are updated daily. Table can be sorted by stock name or yield. DIVIDEND YIELD FOR DOW JONES STOCKS, SORTED BY STOCK Index stocks and their price, estimated dividend, yield, and bar graph are updated daily. Table can be sorted by stock name or yield. DIVIDEND YIELD FOR DOW JONES IND. AVG. STOCKS, SORTED BY Index stocks and their price, estimated dividend, yield, and bar graph are updated daily. Table can be sorted by stock name or yield. PROGRAM TRADING VALUES DISTANT MONTH FUTURES CONTRACTS Fair value, buy-sell index arbitrage program trading values, and program trading probability and decay-to-expiration graphs are updated daily. Index metrics include stock listings sorted by price change vs. the index, dividend yield, weight in the index, and capitalization. A calculator facilitates program trading what-if analyses. STOCK PERFORMANCE VS. INDEX PERFORMANCE FOR ONE DAY S&P 500, NASDAQ 100, Dow Jones Industrial Average stocks price change vs. the index change, updated daily for the time periods of one day, one month and three months and shown numerically and graphically. Performance statistics of max, min, PROGRAM TRADING, FAIR VALUE, INDEX ARBITRAGE VALUESFUTURES SELECTORFURTHER DESCRIPTIONSSTOCK PERFORMANCE VS. INDEXESHELP Program trading values, Fair value, index arbitrage values, and program trading probability graphs are updated daily. Index metrics include stock listings sorted by price change vs. the index, dividend yield, weight in the index, and capitalization. A calculator facilitates program trading what FAIR VALUE DECOMPOSITION BY INDEX FUTURES Fair value has two components: interest on the index (i.e., cost of carry) and dividends earned. These two components for each index futures are updated daily and presented for easy comparison. PROGRAM TRADING VALUES VS. TIME DOW JONES SEP 2021 FUTURES Graph of index arbitrage program trading values vs. time, updated daily for all listed S&P 500, Nasdaq 100, Dow Jones Industrial Averageindex futures.
PROGRAM TRADING VALUES VS. TIME S&P 500 SEP 2021 FUTURES IndexArb Values vs. Time S&P 500 SEP 2021 Futures Contract PROGRAM TRADING VALUES VS. TIME NASDAQ 100 SEP 2021 IndexArb Values vs. Time Nasdaq 100 SEP 2021 Futures Contract DIVIDEND YIELD FOR NASDAQ 100 STOCKS, SORTED BY YIELD Index stocks and their price, estimated dividend, yield, and bar graph are updated daily. Table can be sorted by stock name or yield. DIVIDEND YIELD FOR DOW JONES STOCKS, SORTED BY STOCK Index stocks and their price, estimated dividend, yield, and bar graph are updated daily. Table can be sorted by stock name or yield. DIVIDEND YIELD FOR DOW JONES IND. AVG. STOCKS, SORTED BY Index stocks and their price, estimated dividend, yield, and bar graph are updated daily. Table can be sorted by stock name or yield. PROGRAM TRADING VALUES DISTANT MONTH FUTURES CONTRACTS Fair value, buy-sell index arbitrage program trading values, and program trading probability and decay-to-expiration graphs are updated daily. Index metrics include stock listings sorted by price change vs. the index, dividend yield, weight in the index, and capitalization. A calculator facilitates program trading what-if analyses. STOCK PERFORMANCE VS. INDEX PERFORMANCE FOR ONE DAY S&P 500, NASDAQ 100, Dow Jones Industrial Average stocks price change vs. the index change, updated daily for the time periods of one day, one month and three months and shown numerically and graphically. Performance statistics of max, min, CAPITALIZATION ANALYSIS OF INDEXES Summary capitalization statistics of the S&P 500 and Nasdaq 100 indexes and ranking of the top and bottom 100 stocks in the S&P 500 and all Nasdaq 100 are DIVIDEND YIELD FOR S&P 500 STOCKS, SORTED For many years, this webpage contained the dividend yields for all stocks in the S&P 500 index. Recently, Standard & Poor’s felt that this information infringed on their intellectual property and insistedon some changes.
CONTACT US - INDEXARB.COM Clicking on the link below will open your mail program by which you can send us your comments. The large number of comments we receiveprevents us from
STOCK PERFORMANCE VS. INDEX PERFORMANCE FOR ONE DAY S&P 500, NASDAQ 100, Dow Jones Industrial Average stocks price change vs. the index change, updated daily for the time periods of one day, one month and three months and shown numerically and graphically. Performance statistics of max, min, INDEX ARBITRAGE PROGRAM TRADING CALCULATOR This calculator allows the user to calculate fair value and premium levels at which index arbitrage buy and sell program trades could occur, presenting the results in a probability graph. What-if analyses can be obtained by varying the input variables. INDEXARB INSTITUTIONAL SERVICES DEMO IndexArb Institutional Services Demo. Index arbitrage • Dividend capture and arbitrage • Fast cash index calculations STOCK PERFORMANCE VS. INDEX PERFORMANCE SORTED BY STOCK S&P 500, NASDAQ 100, Dow Jones Industrial Average stocks price change vs. the index change, updated daily for the time periods of one day, one month and three months and shown numerically and graphically. Performance statistics of max, min, PROGRAM TRADING VALUES VS. TIME S&P 500 SEP 2021 FUTURES IndexArb Values vs. Time S&P 500 SEP 2021 Futures Contract PROGRAM TRADING VALUES VS. TIME NASDAQ 100 JUN 2021 IndexArb Values vs. Time Nasdaq 100 JUN 2021 Futures ContractTERMS OF USAGE
General Terms Your viewing this site signifies your acceptance of the following Terms of Usage/Disclaimer. If you do not accept these terms, you should discontinue viewing this site. PROGRAM TRADING, FAIR VALUE, INDEX ARBITRAGE VALUESFUTURES SELECTORFURTHER DESCRIPTIONSSTOCK PERFORMANCE VS. INDEXESHELP Program trading values, Fair value, index arbitrage values, and program trading probability graphs are updated daily. Index metrics include stock listings sorted by price change vs. the index, dividend yield, weight in the index, and capitalization. A calculator facilitates program trading what FAIR VALUE DECOMPOSITION BY INDEX FUTURES Fair value has two components: interest on the index (i.e., cost of carry) and dividends earned. These two components for each index futures are updated daily and presented for easy comparison. CONTACT US - INDEXARB.COM Clicking on the link below will open your mail program by which you can send us your comments. The large number of comments we receiveprevents us from
DIVIDEND YIELD FOR NASDAQ 100 STOCKS, SORTED BY YIELD Index stocks and their price, estimated dividend, yield, and bar graph are updated daily. Table can be sorted by stock name or yield. DIVIDEND YIELD FOR DOW JONES IND. AVG. STOCKS, SORTED BY Index stocks and their price, estimated dividend, yield, and bar graph are updated daily. Table can be sorted by stock name or yield. DIVIDEND YIELD FOR DOW JONES STOCKS, SORTED BY STOCK Index stocks and their price, estimated dividend, yield, and bar graph are updated daily. Table can be sorted by stock name or yield. DIVIDEND YIELD FOR S&P 500 STOCKS, SORTED For many years, this webpage contained the dividend yields for all stocks in the S&P 500 index. Recently, Standard & Poor’s felt that this information infringed on their intellectual property and insisted on some changes. Accordingly, we have executed a new contract with S&P that limits the number of stocks to ten in the free part of our PROGRAM TRADING VALUES DISTANT MONTH FUTURES CONTRACTS Fair value, buy-sell index arbitrage program trading values, and program trading probability and decay-to-expiration graphs are updated daily. Index metrics include stock listings sorted by price change vs. the index, dividend yield, weight in the index, and capitalization. A calculator facilitates program trading what-if analyses. DOW JONES INDUSTRIAL AVERAGE (SM) COMPONENT WEIGHTS in the Dow Jones Industrial Average. Updated: Friday, May-28-2021. 7:30pm ET. Sorted by % Weight in the Index. (The following table is sorted by % Weight in the Index, in descending value. The table is sorted by stock name in the table at the bottom of this page.) No. STOCK PERFORMANCE VS. INDEX PERFORMANCE FOR ONE DAY S&P 500, NASDAQ 100, Dow Jones Industrial Average stocks price change vs. the index change, updated daily for the time periods of one day, one month and three months and shown numerically and graphically. Performance statistics of max, min, PROGRAM TRADING, FAIR VALUE, INDEX ARBITRAGE VALUESFUTURES SELECTORFURTHER DESCRIPTIONSSTOCK PERFORMANCE VS. INDEXESHELP Program trading values, Fair value, index arbitrage values, and program trading probability graphs are updated daily. Index metrics include stock listings sorted by price change vs. the index, dividend yield, weight in the index, and capitalization. A calculator facilitates program trading what FAIR VALUE DECOMPOSITION BY INDEX FUTURES Fair value has two components: interest on the index (i.e., cost of carry) and dividends earned. These two components for each index futures are updated daily and presented for easy comparison. CONTACT US - INDEXARB.COM Clicking on the link below will open your mail program by which you can send us your comments. The large number of comments we receiveprevents us from
DIVIDEND YIELD FOR NASDAQ 100 STOCKS, SORTED BY YIELD Index stocks and their price, estimated dividend, yield, and bar graph are updated daily. Table can be sorted by stock name or yield. DIVIDEND YIELD FOR DOW JONES IND. AVG. STOCKS, SORTED BY Index stocks and their price, estimated dividend, yield, and bar graph are updated daily. Table can be sorted by stock name or yield. DIVIDEND YIELD FOR DOW JONES STOCKS, SORTED BY STOCK Index stocks and their price, estimated dividend, yield, and bar graph are updated daily. Table can be sorted by stock name or yield. DIVIDEND YIELD FOR S&P 500 STOCKS, SORTED For many years, this webpage contained the dividend yields for all stocks in the S&P 500 index. Recently, Standard & Poor’s felt that this information infringed on their intellectual property and insisted on some changes. Accordingly, we have executed a new contract with S&P that limits the number of stocks to ten in the free part of our PROGRAM TRADING VALUES DISTANT MONTH FUTURES CONTRACTS Fair value, buy-sell index arbitrage program trading values, and program trading probability and decay-to-expiration graphs are updated daily. Index metrics include stock listings sorted by price change vs. the index, dividend yield, weight in the index, and capitalization. A calculator facilitates program trading what-if analyses. DOW JONES INDUSTRIAL AVERAGE (SM) COMPONENT WEIGHTS in the Dow Jones Industrial Average. Updated: Friday, May-28-2021. 7:30pm ET. Sorted by % Weight in the Index. (The following table is sorted by % Weight in the Index, in descending value. The table is sorted by stock name in the table at the bottom of this page.) No. STOCK PERFORMANCE VS. INDEX PERFORMANCE FOR ONE DAY S&P 500, NASDAQ 100, Dow Jones Industrial Average stocks price change vs. the index change, updated daily for the time periods of one day, one month and three months and shown numerically and graphically. Performance statistics of max, min, FAIR VALUE DECOMPOSITION BY INDEX FUTURES Fair value has two components: interest on the index (i.e., cost of carry) and dividends earned. These two components for each index futures are updated daily and presented for easy comparison. DIVIDEND YIELD FOR S&P 500 STOCKS, SORTED For many years, this webpage contained the dividend yields for all stocks in the S&P 500 index. Recently, Standard & Poor’s felt that this information infringed on their intellectual property and insisted on some changes. Accordingly, we have executed a new contract with S&P that limits the number of stocks to ten in the free part of our CONTACT US - INDEXARB.COM Clicking on the link below will open your mail program by which you can send us your comments. The large number of comments we receiveprevents us from
INDEXARB INSTITUTIONAL SERVICES DEMO IndexArb Institutional Services Demo. Index arbitrage • Dividend capture and arbitrage • Fast cash index calculations STOCK PERFORMANCE VS. INDEX PERFORMANCE SORTED BY STOCK S&P 500, NASDAQ 100, Dow Jones Industrial Average stocks price change vs. the index change, updated daily for the time periods of one day, one month and three months and shown numerically and graphically. Performance statistics of max, min, INDEX ARBITRAGE PROGRAM TRADING HELP Fair value, buy-sell index arbitrage program trading values, and program trading probability and decay-to-expiration graphs are updated daily. Index metrics include stock listings sorted by price change vs. the index, dividend yield, weight in the index, and capitalization. A calculator facilitates program trading what PROGRAM TRADING VALUES VS. TIME DOW JONES SEP 2021 FUTURES Graph of index arbitrage program trading values vs. time, updated daily for all listed S&P 500, Nasdaq 100, Dow Jones Industrial Averageindex futures.
PROGRAM TRADING VALUES VS. TIME S&P 500 SEP 2021 FUTURES IndexArb Values vs. Time S&P 500 SEP 2021 Futures Contract PROGRAM TRADING VALUES VS. TIME NASDAQ 100 SEP 2021 IndexArb Values vs. Time Nasdaq 100 SEP 2021 Futures ContractTERMS OF USAGE
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INDEX ARBITRAGE PROGRAM TRADING PREMIUM VALUES -------------------------for Nov-30-2020
Updated: Friday, Nov-27-20206:45pm ET
SELL PROGRAMS
NO PROGRAMS
BUY PROGRAMS
INDEX
Sell
Active (SA) Sell
Threshold (ST) Fair Value(Premium) (FV) Buy
Threshold (BT) Buy
Active (BA)
S&P
500 (TM)
-6.08
-4.31
-1.91
0.66
2.57
NASDAQ
100 (SM)
-17.09
-10.80
-2.60
6.98
14.33
Dow Jones
Ind. Avg. (SM)
-66.74
-51.35
-30.68
-14.35
-2.21
What do these terms and numbers mean? Probability of Program Trading vs. Premium (Premium = DEC 2020 Futures - Spot Index)S&P 500 (TM)
NASDAQ 100 (SM)
Dow Jones Industrial Average (SM) OUR TRADING GUIDELINES FOR NOV-30-2020 WHEN THE FOLLOWING PREMIUM EXTREMES OCCUR: OUR TRADING POSSIBILITIES WILL INCLUDE: S&P 500 Prem greater than 0.77•
Buy Spyders (symbol SPY).•
On continuations (after a buy program), buy E-mini or regular S&P500 futures.
•
Buy Diamonds (symbol DIA).•
Execute a S&P 500 buy program. S&P 500 Prem less than -4.42•
Short Spyders (symbol SPY).•
On continuations (after a sell program), sell E-mini or regular S&P500 futures.
•
Short Diamonds (symbol DIA).•
Execute a S&P 500 sell program. NASDAQ 100 Prem greater than 7.42•
Buy NASDAQ 100 ETFs, the Cubes (symbol QQQ).•
On continuations (after a buy program), buy E-mini or regularNASDAQ 100 futures.
•
Execute a NASDAQ 100 buy program. NASDAQ 100 Prem less than -11.18•
Short NASDAQ 100 ETFs, the Cubes (symbol QQQ).•
On continuations (after a sell program), sell E-mini or regularNASDAQ 100 futures.
•
Execute a NASDAQ 100 sell program. What do these terms and numbers mean? What are Fair Value, Sell Active, Sell Threshold, Buy Threshold, andBuy Active?
When do sell programs and buy programs occur? These terms indicate when index arbitrage program trading activity could occur and, hence, could produce sudden and possibly sharp market movements. Foreknowledge of the likelihood of an adverse program trade can help investors determine the wisdom of initiating long or short positions in stocks, index futures, Exchange Traded Funds (ETFs), andoptions.
Buy programs occur when the futures market is over-valued relative to the stock market and consists of the index futures being sold and the stocks in the index being bought. Sell programs, the opposite case, occur when the futures market is under-valued relative to the stock market and consists of the index futures being bought and the stocks in the index being sold. Over-valued and under-valued conditions arise because trading in the futures and equities markets occurs independently. The key to determining these over or under-valued conditions is the arithmetic difference between the futures and the spot index (which is known as the premium). The five terms of fair value, sell active, sell threshold, buy threshold, and buy active refer to specific values of the arithmetic difference of an index futures contract price minus its spot (or current) price. For example, if the S&P 500 futures contract price is 1409 and the S&P 500 spot index is 1400, the difference is 9; whether this particular difference has bearish or bullish implications depends on whether it falls in the range of sell programs, no programs, or buy programs. This difference between the futures contract price and the spot index is known by the various names of premium, spread, and basis; the nomenclature adopted here will be premium (or prem). This usage concurs with the CNBC ticker. As described previously, other data feeds use the symbol of $PREM.X, $PREM, or SP-PREM for the S&P 500 premium and ND-PREM for the NASDAQ 100 premium. The five significant values of the futures-spot premium that delineate the program buying and selling ranges are described below:Sell Programs
A sell program is the simultaneous (short) sell of all (or almost all) the stocks in the index (in weighted proportions) and the purchase of the index futures contract. Therefore, the stocks comprising the index should decline and, correspondingly, the index futures should rise, producing the effect of a stock market decline and futures market rise. Two significant values in the sell program range are the SELL ACTIVE and the SELL THRESHOLD values, describedbelow:
NO PROGRAMS
BUY PROGRAMS
A buy program is the simultaneous purchase of all (or almost all) the stocks in the index (in weighted proportions) and the sale of the index futures contract. Therefore, the stocks comprising the index should rise and, correspondingly, the index futures should decline, producing the effect of a stock market rise and futures market decline. Two significant values in the buy program range are the BUY THRESHOLD and the BUY ACTIVE values, described below:Sell
Active (SA) Sell
Threshold (ST) Fair Value(Premium) (FV) Buy
Threshold (BT) Buy
Active (BA)
This is the "futures - spot" index premium value at which sell programs should be prevalent, producing a meaningful decline in thestock market.
In the graphs above, the sell active value occurs on the left side where the probability of a sell program approaches 100%. This is the minimal "futures - spot" index premium value at which sell programs might be initiated. Sell programs are possible and could cause a stock market decline. In the graphs above, the sell threshold value occurs on the left side where the probability of a sell program is just greater than zero. This is the "futures - spot" index premium value at which the futures and the equity markets are in equilibrium. No (profitable) index arbitrage type programs will occur at fair value nor when the "futures - spot" premium level falls within the range extending from the sell threshold to the buy threshold. This range occurs in the middle portion of the above graphs where the probability of any program activity is equal to zero and, hence, falls on the horizontal axis. An equation for "fair value" is presented in the Help Pages.
This is the minimal "futures - spot" index premium value at which buy programs might be initiated. Buy programs are possible and could cause a stock market rise. In the graphs above, the buy threshold value occurs on the right side where the probability of a buy program is just greater than zero. This is the "futures - spot" index premium value at which buy programs should be prevalent, producing a meaningful rise in the stockmarket.
In the graphs above, the buy active value occurs on the right side where the probability of a buy program approaches 100%. Further DescriptionsAcknowledgements
Standard & Poor's, S&P, Standard & Poor's 500, S&P 500, and 500 are trademarks of the McGraw-Hill Companies. The NASDAQ-100 Index is a registered service/trademark of The NASDAQ Stock Market, Inc. Dow JonesSM and Dow Jones Industrial AverageSM are famous, well-known, and internationally recognized trademarks of Dow Jones & Company, Inc. and have been licensed for use by Ergo Inc. The McGraw-Hill Companies, The NASDAQ Stock Market, Inc., and Dow Jones & Company, Inc. have no affiliation with this web site; citing their respective service/trademarks on this web site does not construe any endorsement by them. ------------------------- No portion of this page or web site may be copied, retransmitted, or redistributed in any manner for any commercial use. You may use the site and its information to help in formulating your personal investment decisions; doing so signifies that you accept our Terms of Usage and Disclaimer. All pages, content, images, and design Copyright 2000-2020 Ergo Inc. All Rights Reserved Worldwide.Details
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