What is the SPI 200? 
The SPI 200 stands for the Share Price Index Futures. A futures contract is a contract that involves buying or selling a particular asset, or its cash equivalent value, on a specified future date. The SPI 200 is a contract based on the S&P/ASX 200, also known as the XJO.
The contract expiry months of the SPI 200 are March, June, September and December. The SPI can be traded up to six quarter months ahead of time. The contract unit is valued at A$25 per index point. For instance if the XJO is at 6026, the value of the contract is $150,650. The SPI 200 can be traded from 9:50am to 4:30pm and from 5:10pm to 7:00am during the Australian winter period, however in summer the after hours trading is changed until 8:00am in the morning.
How is the SPI 200 valued?
The value of the SPI 200, also known as the 'fair value' is approximately equal the current value of the XJO plus an amount referred to as the carrying cost or 'cost of carry'.
The cost of carry basically refers to the cost of holding the underlining shares over the life of the futures contract, minus the amount the shareholders would receive in dividends if they owned those shares at that particular time.
Lets have at look at the following theoretical example.
Lets assume:
XJO = 6026
Risk free interest rate = 6.5%
Days until Maturity = 60
Average Dividend Yield = 4.5%
Therefore the fair value of the SPI 200 is calculated by:
SPI 200 = 6026 + (6026*(6.5% - 4.5%)*60/365)
SPI 200 = 6045
As the days to maturity reduces so too does the price differential of the SPI 200 as compared to the XJO
(NB: The theoretical example above does not reflect the actual fair value of the SPI 200)
