I often see commentary saying, for example:
‘Last weeks sep/Dec SPX roll VWAP traded at FedFunds + 32bps’ and
‘Dec/Mar SPX rolls currently imply a Year End premium of FedFunds + 49bps.’
But what does the implied funding rate of the roll actually mean?
Does it mean:
with the first example, that implied funding cost for the duration from the day the near contract is rolled til the deferred contact expires, that the implied funding cost for that time period is FF+32bps?
For the 2nd example, how do you extract the year end premium (does this implied funding just cover the year end turn and not the remaining 3 months til expiry of the Mar contract?