S&P 500 to SPX to SPY conversion formula

HitAndMissLab

HitAndMissLab

Me again.

I'm combining info from SPX and SPY options to make my trading decisions, but I have a problem with converting SPX prices into SPY prices. SPX is approximately x10 times SPY, but it is last few significant digits that wreck chaos. Currently I just make an rough estimate relative to recent price peaks.

Is there a formula for converting SPX into S&P 500 futures and SPY ETF, or is it all left to the market's mood swings? Maybe arbitrageurs would know?

If anybody has a formula it would be appreciated if he can share it.
 
There is no exact formula. They all fluctuate.

Spoos (Futures) trades, most of the time, at a premium to SPX/SPY.

SPX itself is an index so no trading involved directly.

SPY like Spoos trades but neither do it tick for tick with SPX.
 
HitAndMissLab said:
Me again.

I'm combining info from SPX and SPY options to make my trading decisions, but I have a problem with converting SPX prices into SPY prices. SPX is approximately x10 times SPY, but it is last few significant digits that wreck chaos. Currently I just make an rough estimate relative to recent price peaks.

Is there a formula for converting SPX into S&P 500 futures and SPY ETF, or is it all left to the market's mood swings? Maybe arbitrageurs would know?

If anybody has a formula it would be appreciated if he can share it.
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dividends are the biggest driver of the difference. the dividends will affect the forwards and will also impact the american exercisability of the calls which will have some impact on the deep in the money calls.

easiest way i think is to compare the implied vols and then reprice into each with the dividend assumptions for each.
 
SunTrader said:
There is no exact formula. They all fluctuate.

Spoos (Futures) trades, most of the time, at a premium to SPX/SPY.

SPX itself is an index so no trading involved directly.

SPY like Spoos trades but neither do it tick for tick with SPX.
More...

i assume you have direct experience with the EFP markts, because i don't think there is another spread that's more closely monitored than SPY/ES/SPX. But i never worked on a program trading desk.
 
newwurldmn said:
i assume you have direct experience with the EFP markts, because i don't think there is another spread that's more closely monitored than SPY/ES/SPX. But i never worked on a program trading desk.
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EOD pricing I supposed can be a fixed calc? Throughout the day I wouldn't think so. But if you know better, glad to see it.
 
calculating the iNAV of spy might be closer to spx if you're looking at last few significant digits. did something similar between sp futures, oex, and spx in manual days
 
spy dividend yield is about 1.24%, divided by 4 quarters, about 0.31%, that is about the difference between spx and es, 15-18 points +/-. then you factor in time decay toward roll date. that is as much as you can get without algos. it is hard to arb es and spx/spy
 
maybe I just brute force it with statistics on yesterday's prices. Ugly, but straightforward.

I actually just need to convert SPX's price into equivalent SPY's price.
 
HitAndMissLab said:
maybe I just brute force it with statistics on yesterday's prices. Ugly, but straightforward.

I actually just need to convert SPX's price into equivalent SPY's price.
More...

why do you need to be so precise?

if you need to be super precise convert the options to implied vol. the implied vol should be the exact same.
 
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