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I'm tracking tick bid/ask price of an instrument MINI L OMX AVA 191, that is every change in the bid/ask price of this Emini or what is called in Sweden "Mini futures", against its underlying instrument which is an index OMX Stockholm 30, also tick price in real time.

I noticed that the underlying instrument price fluctuates while the Mini future doesn't so often, The fluctuation is often larger than an ignorable decimal even after the leverage (loan) and spread is computed (there are no brokerage fees).

So I wonder how do the financial firm (JP Morgan) prices their mini futures?

I thought that it is supposed to be exact tick-by-tick price like this:

Pu = Underlying instrument price
Pm = Minifuture price
F = Financing level (loan)
S = Spread
(all units in SEK or whatever is the currency)

Pm = (Pu - F) ± S

Anyone knows why there is a difference in price?

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The market sets prices and the way JP Morgan or any other bank or organization determines the price it's willing to deal in would be proprietary business information.

  • So there is no public mathmatical correlation between their prices (their market maker) and the underlaying instrument price? – Aus Jul 18 '17 at 22:23

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