Hi, when rolling over the FTSE 100 futures and the DAX futures, I have noticed that there was a big difference between the 2 futures roll over spread. Based on yesterday's future prices, rolling the FTSE 100 March 24 to June 24 had a difference of around 30 points (equivalent to 1.44% annualised) but the DAX roll from March 24 to June 24 had a difference of 287 points (5.95% annualised). I thought part of the difference related to the interest cost & dividends but that is a big 4.51% difference for 2 Western markets, both in Europe
Best my analysis on:
Dax
March 24 - 17,967.60 & June 24 - 18,254.60
FTSE
March 24 - 7,753.8 & June 24 - 7,783.80