Futures vs Index spread

rog1111

Established member
673 10
Hi all

Has anyone here done any studies on the Index vs nearby Index Futures spread ? We all hear that arb program trading kicks in when the spread is too large, but can anyone offer any experiences on using the spread as a trading indicator, either intraday or longer term, other than for scalping ?

At first glance, with Nasdaq eminis, it would seem that tops and bottoms are marked by overextended spreads. Another casual observation is that for genuine down days, the futures low of the day is beneath that of the index, whereas for genuine up days, it's not the case. The cost of carry would suggest that the futures price should always be a touch above the index.

Has anyone has noticed any sort of tradable patterns ?

TIA mates
rog1111
 

rog1111

Established member
673 10
rog1111 said:
Hi all

Has anyone here done any studies on the Index vs nearby Index Futures spread ? We all hear that arb program trading kicks in when the spread is too large, but can anyone offer any experiences on using the spread as a trading indicator, either intraday or longer term, other than for scalping ?

At first glance, with Nasdaq eminis, it would seem that tops and bottoms are marked by overextended spreads. Another casual observation is that for genuine down days, the futures low of the day is beneath that of the index, whereas for genuine up days, it's not the case. The cost of carry would suggest that the futures price should always be a touch above the index.

Has anyone has noticed any sort of tradable patterns ?

TIA mates
rog1111

________________________

It seems that nobody has.......!

rog1111
 
 
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