Recent content by boxman

When calcaulting the fair value of a future - for cost of carry do you use the days until future expiry or day until settlement?

Thnaks guys. But my understanding is that in the final week to expiry the theory goes out the window (to a certain degree) and prices are based more on demand for particular stikes and the ATM's are bought and sold dependant on whether the price of the straddle justifies the potential movement -...

What's a good way to compute the fair value of the front month straddle? (ie the front month FTSE ATM straddle is currently trading roughly 120 ticks - what's a good way of finding is this should be over/underpriced?