SPX Liquidity

[Corello]

Greetings,

I am wondering if I could easily trade $15,000 intraday to be in and out within anywhere from 15 minutes to 1 hour on simple calls and puts. I do this with SPY, but want to save on commissions with SPX, as well as the tax treatment SPX brings.

Are SPX options liquid enough for me to trade $15,000 in and out without much slippage?

Thanks.

 

[ETJ]

No problem - it helps if your broker does a decent job, but there is plenty of liquidity. Can be a lot more expensive to trade. SPX has a fee - SPY can have fairly good rebates.

 

[Corello]

For example, to trade $15,000 of ATM calls or puts of SPX is only $10-20 in commissions round trip vs. $100-200 with SPY because SPX is 10x the size of SPY.

I wonder though if ultimately the money that I save on commission by utilizing lower number of SPX contracts will be lost in the spread between the bid and the ask, offsetting any savings in commission.

 

[tommcginnis]

For example, to trade $15,000 of ATM calls or puts of SPX is only $10-20 in commissions round trip vs. $100-200 with SPY because SPX is 10x the size of SPY.

I wonder though if ultimately the money that I save on commission by utilizing lower number of SPX contracts will be lost in the spread between the bid and the ask, offsetting any savings in commission.

This will be entirely dependent on specific strikes. Remember that there are multiple SPX strikes between SPY 280.00 and SPY 280.50 (etc etc, dependent on expiry and distance from market). Bring up the data and make your own eyeball judgment. One immediate suggestion is to download the per-strike volume and buy-sell-last data towards the end of the day, and eyeball that closely.

As far as your overall amount -- it's pocket change for strikes close-to-the-flame; it's a day-long total for strikes out where the crickets chirp. (Again: check end-of-day volume.)