Index future fair value & basis calculator
In short
Carry, dividends, rich or cheap.
Interactive: index future fair value & basisMedium
An index future should equal spot plus financing minus the dividends you forgo. The gap to that number is the basis — and it is a trade.
- Fair value
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- Cost of carry
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- Basis vs. market
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- Reading
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F = S·e^((r−q)T). When rates exceed the dividend yield the future trades above spot; when dividends dominate, below. The same arithmetic prices equity forwards and the financing leg of total return swaps.
The idea behind it
This calculator belongs to Equity Derivatives, where the mechanism it computes is explained step by step, with the formula, what each input means and where the simple model stops being right. Everything is computed in your browser; nothing you type is sent anywhere.
Instruments it applies to
- Equity Index Future — A standardised, exchange-traded promise to buy or sell the market at a set price on a set date.
- Dividend Future — Trade the dividends a company or index will actually pay in a given year — stripped from the share price.
- Tracker Certificate — The simplest structured product: one-for-one exposure to an index, with none of the protection and all of the issuer risk. An ETF's payoff wrapped in a bank's credit.
- Knock-Out Certificate — Leverage with a trapdoor: a cheap slice of the underlying that dies instantly the moment a barrier is touched.
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