NEW YORK — On Monday afternoon the September S&P 500 futures contract traded at 7,672.00 while the index it settles against stood at 7,653.82. The 18-point difference looks like a rounding error on a 7,600-point index. It is not. It is the price of money, and it is currently quoting well above what the United States Treasury pays to borrow.
A futures contract is a promise to own the index later without paying for it now. The buyer keeps the cash and earns interest on it; the seller gives up the dividends they would have collected. The premium the buyer pays is the difference between those two things, so the size of the premium is a direct reading of what the market charges to finance a long position.
Annualise Monday’s 18.18-point premium over the 25 days to the September 18 expiry and it comes to 3.47 per cent. Add back the roughly 1.1 to 1.3 per cent the index yields in dividends and the implied financing rate lands between 4.57 and 4.77 per cent. The three-month Treasury bill on the same afternoon yielded 3.70.
That is a gap of about a percentage point, and it is the number in this column worth arguing about.
S&P 500 Futures Today: Where the Contract Stood
The September contract gave up 0.25 per cent against Friday’s settlement, almost exactly matching the cash index, which fell 0.27. The Nasdaq contract fell three times as far and the Dow contract rose, which is the whole shape of Monday in three numbers.
| Instrument | Last | Prior settlement | Change |
|---|---|---|---|
| S&P 500 futures (ES, September) | 7,672.00 | 7,691.25 | -0.25% |
| S&P 500 cash index | 7,653.82 | 7,674.37 | -0.27% |
| Nasdaq 100 futures (NQ) | 29,161.50 | 29,387.75 | -0.77% |
| Dow futures (YM) | 53,493.00 | 53,353.00 | +0.26% |
| Russell 2000 futures (RTY) | 3,002.70 | 3,022.10 | -0.64% |
| Intraday quotes, not settlements. The futures and cash quotes are timestamped about ten minutes apart, which is enough to move the basis by a point or two. | |||
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