Out of hours rolling FTSE vs. Quarterly Futures

[Just_me]

Hi,

this may be a simple question, but I still haven't had a straight answer:

How do SB firms price their rolling FTSE contracts, after London closes at 16:30?

I presume they use the closest expiry actual NYSE (Euronext) Liffe Quarterly contract and then adjust that accordingly. If that is indeed the case, then how do you reconcile between the two?

i.e. how do you get from the Quarterly contract to the "cash" index (rolling) when the cash market is closed?

Many thanks for your help with this.

 

[A Dashing Blade]

You work out the "implied" cash value from the future.
Futures Price = Cash Price + NPV of anticapated dividends - Cost of Carry

 

[Just_me]

Thanks for your quick reply,

I know that's the theory, but I wonder if SB firms actually do that in practice?

Thanks.