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You need to use log of prices, because log of returns are normally distributed. So or where x is return- $$ x=-\frac{1}{\tau} ln(\frac{S_{t+\tau}}{S_{t}}) $$ The annualized standard deviation can be scaled as +/-$ n\frac{\sigma}{\sqrt{\tau}} $ where n is your multiple. You can either ignore or estimate drift. or look at it another way, S refers to the index ...


In general futures are contract which are marked to market everyday and are settled against the cash/underlying price at a future delivery date. For the SPX, I think there are only deliveries in Mar, Jun, Sep and Dec. In theory, one can calculate the implied future price using the short rates and the spot price. One thing to note is that there is a ...

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