ES vs SPY

G

gmst

I trade ES and have never really looked at SPY data in detail - but it seems that transaction costs while trading SPY will be much lower than trading ES - especially the bid-ask spread. B/a spread is 0.25 for ES, whereas for SPY it is 1 cent, therefore, if you multiply SPY price by 10 to make it roughly equivalent to ES price, then it means that SPY bid-ask is 10 cents = 0.1. So, bid-ask spread wise, trading SPY is much more advantageous than trading ES. I reckon that ES and SPY would trade identically - for otherwise there would be arbitrage - and this is a crucial condition that needs to meet.

Since I have not really looked at the data, I could be completely off here, but I am curious to hear others opinion on this topic. Thanks.
 
Quote from gmst:

[...]
Since I have not really looked at the data, I could be completely off here, but I am curious to hear others opinion on this topic. Thanks.
More...

You are completely off.

Try again.
 
500 spy = 1 es
Spy eligible for dividends
Spy Options tighter and liquid.

Take a look at the 2x and 3x S&P ETF's for hedging intraday ES plays.
 
1 ES = 500 SPY

It's probably the most well kept arbitrage band in existence outside the FX markets. SPY is cheaper to trade in terms of slippage and bid/ask spread, however ES is more advantageous from a leverage perspective.

http://bit.ly/Oif3Q4
 
Quote from ogarbitrage:

1 ES = 500 SPY

It's probably the most well kept arbitrage band in existence outside the FX markets. SPY is cheaper to trade in terms of slippage and bid/ask spread, however ES is more advantageous from a leverage perspective.

http://bit.ly/Oif3Q4
More...

Thanks, that was the exact information I was looking - lower trading cost - terms of b/a spread and also slippage (thats A+).

Btw, I have seen the blog - no doubt guy is doing good research but to me his research does not has much value since I don't operate in low-latency microsecond space.
 
There is also the favorable tax treatment of futures over stocks (and easier tax filing for futures, e.g. no trade itemization required)
 
What about trading SPY options? A recent webinar guru claims there is a better R:R trading these over ES futures. He was discussing daytrading ATM weekly SPY options. I'm currently researching this, but would appreciate any comments.
 
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