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MairraxenSeld
03-29-2016,
Would this work
Hi All

I've had a moment, and I can't quite work out if this would work

When you place a rollover cash bet with D4F, they charge or pay you interest overnight. If your long, you pay them and if your short, they pay you. The same doesn't apply to quarterly trades.

So my thinking is.

Long FTSE futures March 2004
Short FTSE Futures Rolling cash bet

The net result will be the same, as your trading the same instrument off 1 long contract vs 1 short contract. At the end of each day, D4F then pay for holding your short overnight.

This seems to good to be true - What have I missed

MapleLash4
04-01-2016,
psst
they also hit you for ex-div if you hold rolling cash !
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Mamabeli
04-01-2016,
<i>This seems to good to be true - What have I missed</i>

I think I have this right, the futures have time value of money built into the price. As such you'd expect the value of the future to fall (all other things being equal) the closer they get to expiry.

So for example it might be 10 points above fair value at the start falling to 0 on expiry. The 10 points that it is above to start with should be more than D4F will pay you on the short bet over the course of the contract.

wysi
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mariannegr11
04-02-2016,
er

if you ever see futures 10pts > fair value, you be sure to let us know, d'you hear ?
I'd like a piece of that

But I would be going to short it !



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Mariusmata
04-03-2016,
OK fair value isn't the right word as, having just checked, fair value is essentially cash price + interest cost. The point is the same though in that there will be an in built bias upwards because of the interest element of the pricing at the start of the contract that will deteriorate towards expiry.

wysi
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