S&P 500 to SPX to SPY conversion formula

[HitAndMissLab]

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.

you are right, +/- 0.1 SPY's point would be OK.

 

[Real Money]

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.

Interesting. I did the research for this a while ago.

If anybody has a formula it would be appreciated if he can share it.

This is a model for pricing the difference based on the risk-free rate and expected dividend.

The basis actually contains an embedded floating interest rate.