Pricing the Unpriceable
A Fair Value Framework for Sports Performance Index Futures
Futures referencing FSPI indexes have no investable spot, so the cost-of-carry relationship that anchors equity index and commodity futures pricing does not apply. This paper derives fair value from an expectation of the terminal index level, following the established practice for VIX Futures, weather derivatives and CME Bitcoin Futures, and applies the framework end to end to the FSPI NHL Team Indexes. It is written for market makers, risk and clearing teams, benchmark users and product staff working with the contracts.
Download the white paper (PDF)About the author of this paper — Jodie Gunzberg, CFA
Jodie Gunzberg, CFA, is Head of Index Services at FutureSports, responsible for methodology, governance and IOSCO compliance across the FSPI index family. She is the founder of InFi Strategies and previously held senior roles at S&P Dow Jones Indices, Morgan Stanley, CoinDesk, and Cboe Global Markets.
Important information — this paper
The paper presents the author's analysis and the views expressed are the author's own. FutureSports publishes it on this site as the author's independent research. The analysis has not been adopted, approved or endorsed by FutureSports in its capacity as benchmark administrator, by CME Group, or by any regulatory authority, and nothing in it forms part of the FSPI methodology. The paper does not constitute investment, legal, tax or accounting advice, or an offer or solicitation to buy or sell any security, futures contract or other instrument. FutureSports is the provider and administrator of the FutureSports Performance Indexes. Futures contracts referencing FSPI indexes are listed by CME Group, subject to CFTC approval and CME Group rules, and FutureSports does not list, clear or trade any contract. Figures in the worked example are illustrative and do not represent any actual team, probability or contract price.