Tuesday, October 27, 2015

automated trading - Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?


How exactly would I go about investigating whether the S&P 500 stocks were currently over-valued compared with the price of the S&P 500 Index futures contract? Is it just a case of taking each S&P 500 stock price, ratio-ing it down using its S&P 500 constituent weighting and then summing them all up and comparing the number with the Index futures price?


Any small examples would be most welcome




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