STOCK FUTURES - PRICING

We will calculate the futures price of RELIANCE INDUSTRIES through the pricing formula and compare it with the current futures price in the market. 

The spot price of RELIANCE is 2324 as of 9/8/2020(assumption) 

 The stock has not declared any dividend in the current August series. Sept series expiry is on 24th i.e last 

Thursday of the month. There are 16 days for expiry : 24/9 (taking both the days into consideration) 

What should RELIANCE INDUSTRIES’s current month futures contract be priced at? 

HERE assume In the month of August 2020  AS  on 9/8/2020

 FUTURES PRICE =(2324*(1+0.0338*((22/365))-0))

 FUTURE PRICE = 2328.73 

 Put the above formula in Excel sheet You other than the exact 365 days. 

Therefore a more generic formula would be – Futures Price = Spot price * [1+ rf*(x/365)]– d 

Where, x = number of days to expiry.

 One can take the RBI’s 91 day Treasury bill as a proxy for the short term risk-free rate.