Questions About about the S&P 500 Index

[Real Money]

So first of all, it's not pure market cap weighted, but rather free float market cap weighted. The ticking index that you see is calculated based on the last full-lot trade for each stock.

For these statements, you're referring to the CBOE cash index right?

First, you have to pay for the weights. They aren't even on the bloomberg terminal, though its possible someone has pirated them. Second, why would need a faster calculation. You can't exploit it. Even half the program trading desks can't exploit this. If its to get a faster calculation of the index, you are better off using the futures.

Do you mean the basis spreads like 10*SPY - SPX and ES - SPX when you say that?

Thanks for the info.

 

[tradeking007yahoo]

For these statements, you're referring to the CBOE cash index right?

Do you mean the basis spreads like 10*SPY - SPX and ES - SPX when you say that?

Thanks for the info.

i would say due to the fragmentation in trading venues and dark pools as well as a swap venue and look a like contracts as well as the futures narkets all at work on price along with individual components movements all at the same nano seconds that at that level of play it is pure white noise bound by the arbs layering with drift.

this is hft territory. you must spend 10 to 20 million a year as a tech budget to have this matter. sure its there but you cannot exploit the white noise in the system. its not possible. they own the bid ask spread! they are the bid ask spread. its the narrowest.

 

[Same Lazy Element]

For these statements, you're referring to the CBOE cash index right?

Yes. As I said, SOQ is a separate story with its own quirks.

Do you mean the basis spreads like 10*SPY - SPX and ES - SPX when you say that?

I am not @newwurldmn but I am pretty sure what he meant - intraday NAV/ETF arbitrage for SPYs or other ETFs based on S&P500 and EFP arbitrage for the futures.

 

[JSOP]

I'm trying to get a better understanding about how indexes are constructed, and there doesn't seem to be a lot of info about the specifics of the S&P 500. Most people know that it's a market cap weighted index, but there's a lot of details about what that means. Some questions:

1. How is the market cap weighted for individual companies? Is it the FMV of the stock or another combination of the bid and ask? Or is it based on the last trade price?

2. What's the relationship between the bid-ask spread of SPY, and the bid ask spread of the underlying shares? It seems like the weighted spreads of the individual shares should eventually result in the spread of the ETF.

3. If trading is halted for a component of the index, how does the index get updated? Without any active trades, it would seem like one of two things would happen. Either a), the last value will be used, despite it not being correct, or b) Index Arbitrageurs would trade the Index ETFs at a price that doesn't match the published index, based on the expectation of movement of the component.

4. As I understand it, the SPX is adjusted for the dividends of the companies. Does this adjustment happen on the ex-dividend date, or the declaration date?

https://en.wikipedia.org/wiki/S&P_500_Index

 

[Spaghetti Code]

https://en.wikipedia.org/wiki/S&P_500_Index

I have looked at the article here, but I think it is missing the details. I was hoping to also find out where Standard and Poor's has official documentation on the index calculation, which I can't seem to find on Google. For example, CBOE has good documentation on how the VIX is calculated.

 

[Same Lazy Element]

I was hoping to also find out where Standard and Poor's has official documentation on the index calculation, which I can't seem to find on Google.

https://www.spglobal.com/spdji/en/documents/methodologies/methodology-sp-us-indices.pdf

Here you go. On the 4th page they have links to various supporting documents, too.

 

[Spaghetti Code]

https://www.spglobal.com/spdji/en/documents/methodologies/methodology-sp-us-indices.pdf

Here you go. On the 4th page they have links to various supporting documents, too.

It was two levels deep in, but I think this is the quote I was looking for, that you mentioned in the first post:

For certain indices, S&P DJI calculates intraday index calculations using real-time exchange traded prices. S&P DJI does not calculate with each traded price, but rather, calculates on a pre-determined fixed interval (e.g. every 5 seconds). At each fixed interval, the index is computed with the latest real-time pricing for each underlying security included in the index. If a new price is not available since the last real-time calculation, the calculation will leverage the last available traded price provided by the exchange. In the absence of a real-time traded price for a given security, the calculation will leverage the prior days’ closing price adjusted for corporate actions.

* http://us.spindices.com/documents/methodologies/methodology-sp-equity-indices-policies-practices.pdf