Fair value stock market futures
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Fair value is the theoretical assumption of where a futures contract should be priced given such things as the current index level, index dividends, days to expiration and interest rates.
The actual futures price will not necessarily trade at the theoretical price, as short-term supply and demand will cause price to fluctuate around fair value.
Price discrepancies above or below fair value should cause arbitrageurs to return the market closer to its fair value. The following formula is used to calculate fair value for stock index futures: For further information on Fair Value, go to the Fair Value FAQ. Subscribe to Equity Updates Sign up for our Equity Index LinkedIn Group. CME Group is the world's leading and most diverse derivatives marketplace.
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