Thursday, May 21, 2009

Technical questions about $PREM and/or $EPREM for ThinkOrSwim

A few readers have emailed and asked if I have a script for $PREM and/or $EPREM for ThinkOrSwim. The answer is no. TOS does not make data for the Big S&P futures contract available and that is what you need to calculate $PREM. If you want this kind of good data you will have to find it elsewhere.

Rules to calculate your own Premium: Subtract the Cash from the S&P front month contract (DO NOT use the minis - always use the S&P 500 futures). That will give you the "spread" between the 2.

To get fair value premium:


F = Break Even Futures Price
S = Spot index price
i = interest rate (expressed as money market yeild)
d = dividend rate (expressed as money market yeild)
t = number of days from todays spot value date to the value date of the futures contract
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