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Re: How is YM calculated?
I think it's a bit more complex than some people here are trying to present. There is a fair value for YM based on not only the DJIA but also dividends and interest. That's why the further from expiry, the bigger the gap between YM and DJIA. Once the future has expired it settles at the DJIA cash price. YM never diverges far from fair value because arbitrageurs step in and move it back to fair value.
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