Your margin is the same for each, there is no difference in spread either. I trade the earlier contracts if they remove the dividend calculation out of the equation (I don't like the unknown suprises). I trade the later contracts, if I am in danger of a rollover (which incurs costs)
I thought futures are priced off the underlying? How are the futures MTM's calculated? Sometimes, even though I have a theoretical profit on the underlying the futures position shows a MTM loss. How does this work?
No no...not what I'm saying. What I mean is that had I taken identical position in the underlying I would see a profit at the close... But the futures MTM shows a loss. But I see that now it has come right. JSE probably just needs some time to resolve their MTM figures after the close
I've also noticed there's quite a difference in valuations at 17h00 and 20h00. If you check the fine print on the home page where you get your valuations (all the footnotes and asterisksezzz), I think you might find the answer. If there are no offers/bids at a particular time, they use the previous period's something or other... All terribly complicated. I equate the morning's figure with reality :-)