YM Dec/March futures

osho67

Well-known member
407 3
As an example Dec futures were quoted as 9725 and March futures were quoted as 9698- lower than the dec futures. Does this mean anything. Is market expected to fall between Dec and March? Why is there a difference? Can one exploit this dofference? Thanks
 

stevet

Established member
917 5
mar futures are going to be illiquid and therefore not tradeable until you are already succesful in trading near periods

and even then you would really need electonic automated trading systems to exploit the difference
 

bgold

Established member
532 5
Hi osho67
Difference between prices between 2 futures expiries consists of 3 factors:
1. interest rates. Remember a future is a obligation to deliver/receive a basket of stocks which will need to be financed. Therefore, cp other factors the march future would be at a premium over Dec,
2. Dividends. The march fut doesnot include divs paid between dec and mar expiry which puts the price of March contract at a discount, and
3. temporary supply and demand factors.
While i don't have data for the above, you should assume that professional participants can easily hedge 1 & 2 and will actively use cash/futures arbitrage techniques which will usually ensure that 3. is virtually non-existent.

So, in summary, the answer is NO. As a rule of thumb, there ain't no free lunches in financial markets and especially not in the major asset classes. I would recommend to buy a book on futures trading (see book store in T2W Resources tap)
I hope above was of help.
rgds
 
 
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