Berlin, Europe
Market Wizard
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,103
|
You would need to perform a reverse fair value calculation from the futures price in order to find an estimate of the spot price.
Definitions:
SE = estimated spot price for the index
F = futures price at parity
r = continous risk free rate used to calculate the borrowing cost
q = dividends or revenues accruing to the holder of the spot position until delivery
T = time from today until expiry of the futures contract
SE = S / exp( (r-q) * T)
You could then use these values as a proxy for the index price prior to 9:30 AM.
|