This calculator allows the user to calculate fair value and premium levels at which index arbitrage buy and sell program trades could occur, presenting the results in a probability graph. What-if analyses can be obtained by varying the input variables.
Keywords: program trading, fair value, index arbitrage, buy programs, sell programs, dividend yield, dividend amounts, capitalization ranking, index component weights, yield curve, index futures, S&P 500, NASDAQ 100, Dow Jones Industrial Average