NEW YORK, Aug. 25 -- On Monday afternoon the September S&P 500 futures contract traded at 7,672.00 while the index it settles against stood at 7,653.82. The 18-point difference looks like a rounding error on a 7,600-point index. It is not. It is the price of money, and it is currently quoting well above what the United States Treasury pays to borrow.

A futures contract is a promise to own the index later without paying for it now. The buyer keeps the cash and earns interest on it; the seller gives up the dividends they would have collected. The premium the buyer pays is the difference between those two things, so the size of the premium is a direct reading of what the market charges to finance a long position.

Annualise Monday's 18.18-p...