Tutorial on the Premium

[Soultrader 12]

Another video I made a while back. Please see link below.

 

Tutorial on the Premium

[MidKnight 12]

James,

 

Do you know of anywhere to get the fair value for the Nikkei225 or Topix500? I have looked for these before and came up empty - maybe you know?

[Soultrader 12]

Sorry Midknight. I do not know. I did create a Nikkei TICK though using Reuters PowerPlusPro and then pluggin that figure inside metacharts. Dont use Reuters anymore so pretty useless now.

[BlowFish 10]

You could try and calculate it MK

 

FV for future = cash [1+rate (x/365)] - Dividends or something similar. Problem is what you slot in for Dividends.

[MidKnight 12]

Hi blowfish,

 

Exactly - that is the problem. I have tried to do this before. I'd need to automate this in some way (maybe screen scrape website like bloomberg) to collect the dividends. Also have to figure out what to use for the interest rate. I've wanted this for a long time, but it'd be a big project.....I was hoping it was already done somewhere

 

Thanks for the comment.

 

With kind regards,

MK

[gooni 10]

MK, I think for the most part you can 'guess' fair value as that would be the most common value for the PREM. That is, a slow moving average may be enough. Buy and sell programs kick in at extremes. I realise that this is not exactly accurate, but for the purposes of making decisions (and money), it may be sufficient. If anyone doesn't agree, I'd actually like to hear why :-)

 

Is the Nikkei heavily arbed in this way anyway? Both mini and full? I know not all markets are (because of liquidity, risk, execution costs etc). Or rather, I guess all markets are, but the levels at which this stuff kicks in can be much wider.

[Soultrader 12]

MK, I think for the most part you can 'guess' fair value as that would be the most common value for the PREM. That is, a slow moving average may be enough. Buy and sell programs kick in at extremes. I realise that this is not exactly accurate, but for the purposes of making decisions (and money), it may be sufficient. If anyone doesn't agree, I'd actually like to hear why :-)

 

Is the Nikkei heavily arbed in this way anyway? Both mini and full? I know not all markets are (because of liquidity, risk, execution costs etc). Or rather, I guess all markets are, but the levels at which this stuff kicks in can be much wider.

 

During my time at an institutional trading environment, we had alerts for the heavy weighted stocks like Mizuho Bank, Mitsubishi Bank, and Mitsui. This was because the stock price was so expensive that a simple price change from the offer to bid would be equivalent to almost $100. The stock price back then was over $15,000 per share before the 1:1000 split.

 

As a result, we had a few scalpers going in and out of the Nikkei based on this information alone. To me... this just seemed like buy/sell programs kicking in from a retail perspective.