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CME Equity Fair Value Premiums
CME Equity Fair Value Premiums

On the last business day of each month, CME Group Equity futures based on domestic stock indexes are marked-to-market against their respective theoretical fair values (FVs). The FVs are determined by referencing the closing cash index values plus finance charges less anticipated dividends.

Throughout the regular trading hours, indicative futures premiums based on a theoretical fair value calculation are provided for informational purposes. Such fair value futures premiums are initially posted on the floor at approximately 10 a.m. Central Time (CT), and updated at noon and 2 p.m. (CT) based on the then-prevailing "cash" index levels. The official fair value settlement prices shall be determined at 3:15 p.m. based on the prevailing estimates of the closing "cash" index levels.

The table shows in the PDF linked below shows the calculated futures premiums for each contract as well as the underlying cash index values that were used in the calculation. These values will be updated throughout the day at the stated times.

Fair Value Futures Premiums 


* Actual futures premium, i.e. difference between futures settlement price and cash index used. Due to the rounding of the settlement to a valid futures price, the actual premium may exhibit some unexpected fluctuations.