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| Author | Topic: S&P Premium (8 messages, Page 1 of 1) |
 budshane -Interested User- Posts: 83 Joined: Jul 26, 2004 |
Posted: Sep 7, 2010 02:40 PM
Msg. 1 of 8
I'm curious about your calculation of SP-PREM.Z (the S&P500 premium). My assumption is that it should be the last of the most active future (this seems to be SPU10 minus the index. I;m watching this and it's not the same as SP-PREM.Z.
Is my asumption not correct? Bud Schoen Kailua, Hawaii |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005 
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Posted: Sep 7, 2010 03:32 PM
Msg. 2 of 8
I took look at this, and it looks correct to me (SP-PREM.Z = SPU10 - SPX.XO).
Can you tell me when you were seeing a discrepancy? Looking back at historical data, it all seems to match up appropriately. |
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budshane -Interested User- Posts: 83 Joined: Jul 26, 2004 |
Posted: Sep 7, 2010 03:52 PM
Msg. 3 of 8
It matches fine now, I'm showing both at -0.44. During the active sesstion, however, they would differ by a fair amount. Maybe this is because the index is real-time and the futures are delayed? If so, then you are using the real-time future to do the calc?
Bud Schoen Kailua, Hawaii |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005
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Posted: Sep 7, 2010 04:23 PM
Msg. 4 of 8
Yes, realtime data is always used for the calculations. If you have one delayed and one realtime, that would explain the discrepancy.
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budshane -Interested User- Posts: 83 Joined: Jul 26, 2004 |
Posted: Sep 7, 2010 04:35 PM
Msg. 5 of 8
Thanks
Bud Schoen Kailua, Hawaii |
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budshane -Interested User- Posts: 83 Joined: Jul 26, 2004 |
Posted: Sep 7, 2010 05:01 PM
Msg. 6 of 8
One more question, the S&P Midcap premium PRMD.Z is now showing -4.02 and has been showing that most of the day.
The future, MDU10, is showing 762.50 and the index is 755.10, a difference of -7.40. Can you tell me how the premium is calculated? Bud Schoen Kailua, Hawaii |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005
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Posted: Sep 8, 2010 02:41 PM
Msg. 7 of 8
Bud, here is the definition of PRMD.Z from our website here:
http://www.iqfeed.net/symbolguide/display.cfm?eight=08016630.cfm&six=06000429&title=DTN%20%2D%20INDEXES%20AND%20INDICATORS%20DEFINITIONS S&P 400 The S&P 400 MidCap premium represents PRMD.Z MD-PREM.Z MIDCAP PREM the cash price of the S&P MidCap index subtracted from the price of the nearby S&P 400 MidCap futures. So you are correct on the calculation... The interesting thing I see on this one is that MDU10 didn't trade yesterday and it appears that might have caused PRMD.Z to not update as well so the values you were seeing of -4.02 was from 9/3 (the last time MDU10 traded). I'm not sure if this is working as it is supposed to or if PRMD.Z should have used the most recent trade (even if not from the current day) for calculations. I'll look into that and reply here again. |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005
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Posted: Sep 8, 2010 03:17 PM
Msg. 8 of 8
The reply I got from our market data group is that this is working as intended. Unless all aspects of an indicator are currently trading, no updates are made.
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