ES future to ETF

O

osho67

I have got one long position in ES futures. I would like to convert this to Exchange traded fund. OEF or SPY (I donot know which one) might be suitable.

How many shares do I buy which will give me equal P/L result. The idea is to hold it long term to weather the market. Is it a good idea?

How do I do calculations for no, of shares to buy?

Thanks. Help much appreciated.
 
"It takes 500 SPDRs to equate to the value of one CME E-mini S&P 500 futures contract"

See attached PDF for full explanation of ETF's vs. E-mini's.

Good trading,

Jimmy Jam
 

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Quote from osho67:

I have got one long position in ES futures. I would like to convert this to Exchange traded fund. OEF or SPY (I donot know which one) might be suitable.

How many shares do I buy which will give me equal P/L result. The idea is to hold it long term to weather the market. Is it a good idea?

How do I do calculations for no, of shares to buy?

Thanks. Help much appreciated.
More...


Let's see if I can read between the lines here.

So in other words, you won't take your loss? No, it is not a good idea. How many ES points are you down?

The 500 SPY will kill you just as fast.

No matter what, if you want out of that contract, you are going to take a mark-to-market loss. Are you in the September contract? If so, you have almost 2 months to expiry.

Wait for a short covering rally and get out, minimize your losses.

Just my .02
 
Thanks for the replies.

It is one Sept contract.

I noticed the price of SPY (closing) is 143.8 Es is say at 1444. How did you calculate 500 shares of SPY. Thanks
 
Quote from osho67:

Thanks for the replies.

It is one Sept contract.

I noticed the price of SPY (closing) is 143.8 Es is say at 1444. How did you calculate 500 shares of SPY. Thanks
More...

From what I understand, the futures normall trade at a premium to the underlying contract.

I don't use this information, and I don't know exactly why (the underlying lags in value).

Perhaps someone else has more knowledge on the subject.

Regards,

JJ
 
Quote from JimmyJam:

From what I understand, the futures normall trade at a premium to the underlying contract.

I don't use this information, and I don't know exactly why (the underlying lags in value).

Perhaps someone else has more knowledge on the subject.

Regards,

JJ
More...

Thanks JJ

You calculated 500 shares because multiplier for ES is 50. Am I right?

Thanks
 
Quote from JimmyJam:

From what I understand, the futures normall trade at a premium to the underlying contract.

I don't use this information, and I don't know exactly why (the underlying lags in value).

Perhaps someone else has more knowledge on the subject.

Regards,

JJ
More...

The most simple explanation is that there is a "time premium" component to the ES... a function of short term interest rates which decay over time to zero on expiration day. This is not 100% of the story, but it accounts for the lion's share of the $$ diff.
 
Quote from osho67:

Thanks JJ

You calculated 500 shares because multiplier for ES is 50. Am I right?

Thanks
More...

Indirectly.

The value of the ES is "50x the SPX", currently about $75,000.

To get $75K exposure in the SPY, you'd need $75,000 / $150-ish, (current value of SPY) = approximately 500 shares. So long as the "$/point value" of the ES remains $50, the ratio of ES / SPY will remain 500.
 
Quote from gnome:

Indirectly.

The value of the ES is "50x the SPX", currently about $75,000.

To get $75K exposure in the SPY, you'd need $75,000 / $150-ish, (current value of SPY) = approximately 500 shares. So long as the "$/point value" of the ES remains $50, the ratio of ES / SPY will remain 500.
More...

Thanks JJ

Margin requirement will be a constraint as well because roughly 500 of SPY will require 35000 while 1 contract of ES requires roughly 6000.
 
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