FTSE100 futures newbie

marameo · Aug 17, 2012, 6:48pm

Hello,

I am a newbie to futures trading. So far, I understand the FTSE 100 FUTURE is led by the FTSE 100 cash market. I have just had a look to settlement prices from LIFFE website:

Code:

AUG12	Q	5848H
SEP12	U	5844H
OCT12	V	5841
NOV12	X	5821H
DEC12	Z	5815H
MAR13	H	5773H
JUN13	M	5714H
SEP13	P	5670H
DEC13	T	5633H
MAR14	C	5582H
JUN14	I	5513H

The spot (cash market) today closed at 5.852,42 so the AUG12 future as well as the others settled for a discount. What is causing that? I thought futures should bring cost-of-carry in addition to the spot price. Why the whole curve is in backwardation?

Also, what is that "H" letter attached to the price? I've seen options have that same letter attached too.

If I am not mistaken, both futures and options have the same multiplier (GBP 10), correct?

Thanks ever so much!

marameo · Aug 17, 2012, 9:19pm

By the way, I see that futures settlements are (almost) identical to ATM (near-the-money) put/call parity in the options market:

Code:

+++ FTSE 100 Share Index (ESX/U) +++
Expiry  Delivery Settlement   External       Spot
Date    Month         Price Settlement      Price       EDSP
------- -------- ---------- ---------- ---------- ----------
SEP13   P             5670H                                                    
 
+++ FTSE 100 Index (ESX) STND OPT (ESX/O) +++
             CALLS                                            PUTS
Settlement Volatility  Delta   Expiry   Strike     Settlement Volatility  Delta
---------- ---------- ------   ------- ---------   ---------- ---------- ------
      3265      43.18   0.98   SEP13        2400           18      43.18  -0.02
      2511      38.40   0.95   SEP13        3200          58H      38.40  -0.05
     2139H      35.00   0.92   SEP13        3600           84      35.00  -0.08
      1774      31.53   0.89   SEP13        4000         115H      31.53  -0.11
     1594H      29.84   0.87   SEP13        4200         134H      29.84  -0.13
     1418H      28.21   0.84   SEP13        4400         157H      28.21  -0.16
      1247      26.64   0.81   SEP13        4600         184H      26.64  -0.19
     1160H      25.70   0.80   SEP13        4700         196H      25.70  -0.20
      1081      25.14   0.78   SEP13        4800          217      25.14  -0.22
     1000H      24.43   0.76   SEP13        4900         235H      24.43  -0.24
      924H      23.86   0.74   SEP13        5000         258H      23.86  -0.26
       853      23.45   0.71   SEP13        5100          287      23.45  -0.29
      778H      22.76   0.69   SEP13        5200         311H      22.76  -0.31
      707H      22.15   0.66   SEP13        5300          340      22.15  -0.34
       641      21.63   0.63   SEP13        5400         372H      21.63  -0.37
      575H      21.04   0.60   SEP13        5500         406H      21.04  -0.40
      512H      20.43   0.57   SEP13        5600         442H      20.43  -0.43
      456H      20.02   0.53   SEP13        5700          486      20.02  -0.47
       401      19.48   0.50   SEP13        5800         529H      19.48  -0.50
      349H      18.98   0.46   SEP13        5900         577H      18.98  -0.54
       299      18.37   0.42   SEP13        6000          626      18.37  -0.58
      253H      17.80   0.38   SEP13        6100          680      17.80  -0.62
      213H      17.34   0.34   SEP13        6200         739H      17.34  -0.66
      178H      16.91   0.31   SEP13        6300         803H      16.91  -0.69
       146      16.44   0.27   SEP13        6400          870      16.44  -0.73
       91H      15.44   0.20   SEP13        6600        1014H      15.44  -0.80
       55H      14.73   0.14   SEP13        6800         1177      14.73  -0.86
        18      13.67   0.06   SEP13        7200        1536H      13.67  -0.94
        4H      12.86   0.02   SEP13        7600         1920      12.86  -0.98
         1      12.31   0.00   SEP13        8000        2313H      12.31  -1.00
         0      13.18   0.00   SEP13        8800         3107      13.18  -1.00

Aug 17, 2012, 6:48pm	#1
marameo Rookie Member Member Since Aug 2012 19 Posts	FTSE100 futures newbie Hello, I am a newbie to futures trading. So far, I understand the FTSE 100 FUTURE is led by the FTSE 100 cash market. I have just had a look to settlement prices from LIFFE website: Code: AUG12 Q 5848H SEP12 U 5844H OCT12 V 5841 NOV12 X 5821H DEC12 Z 5815H MAR13 H 5773H JUN13 M 5714H SEP13 P 5670H DEC13 T 5633H MAR14 C 5582H JUN14 I 5513H The spot (cash market) today closed at 5.852,42 so the AUG12 future as well as the others settled for a discount. What is causing that? I thought futures should bring cost-of-carry in addition to the spot price. Why the whole curve is in backwardation? Also, what is that "H" letter attached to the price? I've seen options have that same letter attached too. If I am not mistaken, both futures and options have the same multiplier (GBP 10), correct? Thanks ever so much! Last edited by marameo; Aug 17, 2012 at 9:20pm.

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