Index futures initially traded below theoretical value until arbitrageurs pegged them

Evidence

In the early months of index futures trading, futures tended to be below their theoretical value. Stock prices were rising in retrospect, ” 82 … was the beginning of the big 80s bull market” but nobody, futures traders included, believed it. `As a result, the index futures, which weren’t yet pegged to their correct value by lots of people doing arbitrage … were cheap.” — Donald MacKenzie, An Engine, Not a Camera, 782

Categorization

• XREF: connects to: S&P 500 futures fell further than the underlying index did on Black Monday. — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 18