You are here: HomeFuturesPricingWhich Special Factors are Important for the Pricing of Equity Index Futures?

Which Special Factors are Important for the Pricing of Equity Index Futures?

The following general relationship also applies to equity index futures:

If the dividends are lower than the financing costs, the futures price is above the cash index. In case of higher dividends – as for instance in the years 2010-12 where the interest rate was very low – the futures prices are below the level of the respective cash index.

DAX Futures and TecDAX Futures are the only futures contracts on performance indices at Eurex Exchange. As the dividends are already included in these indices, they need not be taken account of in the formula.

Owing to the financing costs, the theoretical forward price of the DAX and TecDAX is normally always higher than the current index level. However, the actual forward price may be below the cash index level especially due to short-term trading situations.

Go to top