The fututres market for the S&P 500 Index can be used to derive
forecasts of the S&P 500 Index in the future. For example, in the Friday,
October 18, 1996 WALL STREET JOURNAL, page C16 under the heading "Futures
Prices" the following data concerning futures on the S&P 500 Index
negotiated on Thursday, October 17, 1996 is reported:
| Open | High | Low | Settle | Chg |
|---|---|---|---|---|
| Dec | 798.90 | 713.20 | 711.00 | +2.40 |
| Mar 97 | 717.40 | 719.50 | 715.10 | +2.40 |
| Jan | 724.60 | 725.60 | 722.50 | +2.40 |
| Sep | 731.70 | 732.20 | 729.50 | +2.45 |
From this report one can see that futures traders believe that in December the S&P 500 Index will be trading in the range of 711.00, in March 1997 in the vicinity of 717.35, in June 1997 around 723.50, and in September 1997 about 730.25. The "Chg" column denotes the change in the futures "price" from the previous trading day, October 16, 1996. On October 17, 1996 the S&P 500 Index finished at 706.99.