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Hedging with ETFs vs. future?
- Thread starter ilganzo
- Start date
What you're saying is that if amex is quoting the best, then you can't skip them and trade on the ECNs, or NY, at a worse price?Quote from trade4succes:
i have a hard time getting my orders to execute on any ecn when amex is providing a stale quote as the best price. but that may be because the compliance department at my firm is working too hard.
edit: in most cases it's not a problem, but when it is, then you are not happy..
What if the ECNs show the same quote than amex?
Right, it depends how you define liquidity. The larger $ volume traded, the more interesting the future vs. SPY. Although until a certain number of contracts (say, more than 5) I don't see the liquidity benefit given the prints that go on the tape for SPY.Quote from Pabst:
SPY trades about 70,000,000 shares a day.
ES trades about 600,000 contracts per day.
Each ES contract is the dollar equivalent of 500 SPY.
So ES volume in notional terms is about 4-5 times more than SPY.
Just to make sure, the data you posted is for the e-mini future, right?
Quote from ilganzo:
What you're saying is that if amex is quoting the best, then you can't skip them and trade on the ECNs, or NY, at a worse price?
What if the ECNs show the same quote than amex?
right.
if ecn shows same quote you can hit ecn's. also i think it differs according to platform. my firm is reallly strict so if an ecn shows a worse price there's no way i can hit it. eventhough i want, because amex doesn't always give you the fill, especially when it's disadvantageous to amex.
I don't understand the reason for this restriction. For listed stocks, if I want to trade through arca rather than the specialist, I just get a fill on arca, or another ECN, or nasdaq. If I don't get the best market price set by NY that's my problem. I didn't ask to go out at market.Quote from trade4succes:
right.
if ecn shows same quote you can hit ecn's. also i think it differs according to platform. my firm is reallly strict so if an ecn shows a worse price there's no way i can hit it. eventhough i want, because amex doesn't always give you the fill, especially when it's disadvantageous to amex.
Why is it different for ETFs? Or is this something specific to SPY?
Quote from ilganzo:
I don't understand the reason for this restriction. For listed stocks, if I want to trade through arca rather than the specialist, I just get a fill on arca, or another ECN, or nasdaq. If I don't get the best market price set by NY that's my problem. I didn't ask to go out at market.
Why is it different for ETFs? Or is this something specific to SPY?
it shouldn't be specific to spy/etf's, maybe it's my platform?
Quote from ilganzo:
Right, it depends how you define liquidity. The larger $ volume traded, the more interesting the future vs. SPY. Although until a certain number of contracts (say, more than 5) I don't see the liquidity benefit given the prints that go on the tape for SPY.
Just to make sure, the data you posted is for the e-mini future, right?
Yea. That's the mini data.
My original post was about hedging with SPY or QQQQs. I'm assuming you're referring to other ETFs. When the spyder would not be borrowable?Quote from freehouse:
I would use the future over the ETF because by shorting an ETF, there is always a chance that the ETF will no be borrowable. Thus, you would have your short bought in.