S&P index futures - fair value sources? | Forex Factory

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S&P index futures - fair value sources?

  • #1
  • First Post: Dec 29, 2015 7:53pm Dec 29, 2015 7:53pm
Does anyone know of any websites that have free daily updated SP index/futures fair value sites?
Most that I've found are premium paid services. I found a page but it updates infrequently.
Ideally, one that updates at least once a day.
I'd like to compare different calculations from different sources and also ideally, have the previous daily numbers available for historical review.

Any known sites?
  • #2
  • Edited 8:30pm Dec 29, 2015 8:20pm | Edited 8:30pm
Quoting Pipologist
Does anyone know of any websites that have free daily updated SP index/futures fair value sites? Most that I've found are premium paid services. I found a page but it updates infrequently. Ideally, one that updates at least once a day. I'd like to compare different calculations from different sources and also ideally, have the previous daily numbers available for historical review. Any known sites?
http://www.investing.com/indices/indices-futures

***If you're looking for the "fair-value" calculation during the trading day, then this won't help.
I'm not sure how you'd play the "arbitrage" if the futures is above/below fair value. Either the individual stocks will move to meet the futures or the futures will move to meet the fair value of the stocks. Pretty hard to trade that IMHO.
  • #3
  • Dec 29, 2015 8:29pm Dec 29, 2015 8:29pm
Quoting srt
{quote}
Either I or you must have missed something because I don't see any quotes for fair value on the page. I know cnbc has fair value pre market, but I'm looking for alternative sites to compare figures and also am looking for historical daily FV figures for all the major US indices.
  • #4
  • Dec 29, 2015 8:41pm Dec 29, 2015 8:41pm
Quoting srt
{quote} f you're looking for the "fair-value" calculation during the trading day, then this won't help. I'm not sure how you'd play the "arbitrage" if the futures is above/below fair value. Either the individual stocks will move to meet the futures or the futures will move to meet the fair value of the stocks. Pretty hard to trade that IMHO.
I'm working on a proprietary algorithm/indicator that uses fair value along with other market price/stats. Since institutional trading programs use fair value to move baskets on NYSE/NASDAQ against SP/CME, it would be fair to say that fair value could be used to know at least when either of the two scenarios you've just described begin to move...stocks moving to meet the futures or the futures moving to meet the fair value of the stocks. I'm sure you trade spoos to make that comment and I'm sure you are well aware of PREM and VIX and use Bonds as well to gauge market sent right? (No reply necessary).
  • #5
  • Edited 8:57pm Dec 29, 2015 8:46pm | Edited 8:57pm
Quoting Pipologist
{quote} Either I or you must have missed something because I don't see any quotes for fair value on the page. I know cnbc has fair value pre market, but I'm looking for alternative sites to compare figures and also am looking for historical daily FV figures for all the major US indices.
The FV in relation to futures price you see in the pre-market on CNBC doesn't change throughout the day. It's only different from the true underlying value of the equities is because the futures markets trade for 15 minutes after the equities closes.
If mini-dow futures drop 30 points from 4PM to 4:15PM, now the futures need to be +30 @ the opening of equities the next day just for the equities to show no change from the previous close

The calculated FV compared to the underlying value throughout the live trading day will change slightly because the speed of the market doesn't allow for the markets to be 100% in line all the time. This is a different FV than what you see in the pre-market.

***Sorry, I'm probably not explaining this very clearly :-)
  • #6
  • Dec 29, 2015 8:58pm Dec 29, 2015 8:58pm
Quoting srt
{quote} The FV in relation to futures price you see in the pre-market on CNBC doesn't change throughout the day. It's only different from the true underlying value of the equities is because the futures markets trade for 15 minutes after the equities closes. If mini-dow futures drop 30 points from 4PM to 4:15PM, now the futures need to be +30 @ the opening of equities the next day just for the equities to show no change from the previous close The calculated FV throughout the live trading day will change slightly because the speed of the market...
I'm using FV figures from another site that estimates where FV and buy and sell side algos will kick in (of course their bias is usually wrong), but the numbers they calc are at significant intraday move points. Their FV numbers are MUCH different from cnbc and based on their numbers I compare it to PREM and other numbers to come up with a proprietary indi. Obviously different FV calcs affect the indi dramatically so I want to see as many FV calcs as there are free analysts.
  • #7
  • Dec 29, 2015 9:04pm Dec 29, 2015 9:04pm
Quoting Pipologist
{quote} I'm using FV figures from another site that estimates where FV and buy and sell side algos will kick in (of course their bias is usually wrong) but the FV numbers are MUCH different from cnbc and based on their numbers I compare it to PREM and other numbers to come up with a proprietary indi. Obviously different FV calcs affect the indi dramatically so I want to see as many FV calcs as there are free analysts.
The FV you see on CNBC in the pre-market is a very simple calculation & isn't adjustable.
At exactly 4:00 PM the futures are @ 17,000 but continue to trade even though equities stop for the day.
At exactly 4:15 PM the futures close @ 16,970 for the day.
The fair value is exactly +30 because they need to trade back to 17,000 to be @ the same price(FV) they were when the underlying equities closed to be equal value. If the futures don't trade back up where they were when equities closed then equities must drop down @ the open to meet the value of the futures.
  • #8
  • Dec 29, 2015 9:15pm Dec 29, 2015 9:15pm
Quoting srt
{quote} The FV you see on CNBC in the pre-market is a very simple calculation & isn't adjustable. At exactly 4:00 PM the futures are @ 17,000 but continue to trade even though equities stop for the day. At exactly 4:15 PM the futures close @ 16,970 for the day. The fair value is exactly +30 because they need to trade back to 17,000 to be @ the same price(FV) they were when the underlying equities closed to be equal value. If the futures don't trade back up where they were when equities closed then equities must drop down @ the open to meet the value...
Understood, cnbc was just and example of a "free" site that I'm aware of, and their figure is much too basic, which is why I don't use it, I was just using it as an example of a free site, but was looking for any others to compare numbers with what I'm currently using (which is a service geared towards institutional traders, I'm testing their "lite" service).

BTW I think you are confusing FV with PREM based on your replies. Thank you anyway.
  • #9
  • Dec 29, 2015 9:23pm Dec 29, 2015 9:23pm
Quoting Pipologist
{quote} Understood, cnbc was just and example of a "free" site that I'm aware of, and their figure is much too basic, which is why I don't use it, I was just using it as an example of a free site, but was looking for any others to compare numbers with what I'm currently using (which is a service geared towards institutional traders, I'm testing their "lite" service). BTW I think you are confusing FV with PREM based on your replies. Thank you anyway.
We both know what we're trying to say, just getting it mixed up when the terms are the same for both :-)

You're trying to use "fair value" referring to the arbitrage between the futures & underlying equities.
I was just explaining why the FV you mentioned on CNBC really isn't the FV you're trying to work with in your algo.

***I think I've beet this issue up enough.
  • #10
  • Dec 29, 2015 9:46pm Dec 29, 2015 9:46pm
Quoting srt
{quote} We both know what we're trying to say, just getting it mixed up when the terms are the same for both :-) You're trying to use "fair value" referring to the arbitrage between the futures & underlying equities. I was just explaining why the FV you mentioned on CNBC really isn't the FV you're trying to work with in your algo. ***I think I've beet this issue up enough.
Sorry they are not the same, that's not your fault, but cnbc's perhaps.

FV is much more complicated than just calculating price difference. There are many formulas used. The CME publishes just one of them...

Cash [1+r (x/360)] - Dividends

There are a few others that are used, just trying to get other angles on this, other than just subtracting one from the other. Institutions don't use the simplified ones to hedge. They are calculating hedged rates of return on either the basket of actual stocks or trading the index futures or both.

Anyway as you said, nuff said.
  • #11
  • Dec 29, 2015 10:10pm Dec 29, 2015 10:10pm
back to the original question...any known sites that publish FV for free?
  • #12
  • Dec 29, 2015 11:57pm Dec 29, 2015 11:57pm
I'd really like to see another way of calculating FV than the one from CME ... imho that's the way to do it ...
  • #13
  • Dec 30, 2015 3:37am Dec 30, 2015 3:37am
How about this: http://indexarb.com/index.html ?

Not sure what you looking for though as I don't use FV.
  • #14
  • Edited 8:03am Dec 30, 2015 5:03am | Edited 8:03am
Quoting sakisf
How about this: http://indexarb.com/index.html ? Not sure what you looking for though as I don't use FV.
yeah, that's the site I use

Quoting sakisf
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  • #15
  • Last Post: Edited 11:24am Dec 30, 2015 7:03am | Edited 11:24am
Quoting Pipologist
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