The APU5 traded at nearly the same price as the underlying XJO during market hours. The only day it didn't was on Friday 11/9 when CBA was in a trading halt, the SPI incorporated the 9.6% loss in the trading price.
I understand that the further out from the expiry of a futures contract, there is less volume and therefore increased volatility. What I cannot understand though is why right now (it will have changed when you read this obviously but the distance will likely still be there), APZ5 = 5140 whilst the XJO = 5158. Why does the SPI trade between 10 and 20 points under the XJO yet still moves in sync with each uptick / downtick?
Is there any technical reason or is it purely the fact that in general, futures traders feel the market is overpriced by x amount of points? Does the price correlation begin to get closer and closer as the expiry date of the futures contract approaches?
I'm sure this question has a really simple answer and I'm missing something.