not so turbulent thursday, page-23

More than half of companies will go ex-dividend between Feb and March, including heavy weight BHP, CBA, together with another of 14 of top 20 companies.

If you hold future, you cannot enjoy the dividend. As the date approaching, the cost disadvantage of holding physical is diminishing (interests paid), and the disadvantage of not receiving dividend from SPI future is become more obvious, and it is going to expire in March too!

Do you want to hold the March future contract at bar or even premium if you take everything into consideration?

I guess you won't. How about a bit of discount? and more discount?

It has nothing to do with market sentiments,least it can predict bull or bear, just a cool hard calculated arbitrage.

If you don't believe me, check the June SPI contract on the day of March contract expired. I bet there is an instant premium by then.