y*******e
发帖数: 1 | | E***r
发帖数: 1037 | 2 spx - es = carry = dividend - interest
when you are long s&p 500 stocks on a margin account, you collect dividends
while missing interests on the margined balance that you could have
collected risk-free (the cost of carrying these stocks)
3/26/2019 sp500 estimated div yield 1.9%
3-month libor 2.6%
so 3-month cost of carrying stocks
= 2820 * (1.9% - 2.6%) / 4 = -4.9
is negative
spot < futures, and
futures in contango (jun < sep < dec)
【在 y*******e 的大作中提到】
: 谢谢
| t***3
发帖数: 936 | | w**k
发帖数: 6722 | 4
dividends
zan
【在 E***r 的大作中提到】
: spx - es = carry = dividend - interest
: when you are long s&p 500 stocks on a margin account, you collect dividends
: while missing interests on the margined balance that you could have
: collected risk-free (the cost of carrying these stocks)
: 3/26/2019 sp500 estimated div yield 1.9%
: 3-month libor 2.6%
: so 3-month cost of carrying stocks
: = 2820 * (1.9% - 2.6%) / 4 = -4.9
: is negative
: spot < futures, and
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