spx spy play and question

raf_bcn said:
Thank you all for your resposes.
I know Spy and Spx are different things, but no very different things. I mean the two have the same underlying, 500 stock prices.
Yes Spy accumulates dividends during 3 months ant then pays at once, and Spx is paying little by little.
Then let's see the ES. Yes it's quoted below the Spx price, because of the fair price of futures , = spx-dividends. The SPX and ES options also
discount that .
All is precise. And because of it, I think, the quote graph it says everything.
Let's see the graph
SPY*10-ES1!
It seems to have also a cycle. And these yes are two instruments that can be bought ans sold. And they go synchronized because te pay day in Spy and the expiration day is the same.
By the way
_Do you think it is possible to trade the bars ?. The graphic has very long bars, and also the spy*10-spx. Maybe it is possible to take advantage.

_One other question. Have someone try to put the trade, in paper, I have propose in the first post?
The Risk graph is special, don't know if the reason is that the strategy have two underlyings or what. The Risk graph of box strategy it's usually
horizontal and not with that inclination. Have some questions about that. Maybe in another thread.
Thank you
More...



If what you mean by "Do you think it is possible to trade the bars ?" is to take advantage of intraday fluctuations between the pair, here's what I see:

- Based on today's data the difference between the two oscilates between -0.8 and -1.4 so that is a 0.6 /ES point swings (i.e. slightly more than 2 /ES ticks)
- The pattern is consistent for prior days, but the high and low are different, for example yesterday it was -0.7 to -1.45
- Considering the bid/ask spread on /ES is 1 tick I do not believe you could trade in and out profitably consistently during the day

Maybe someone else sees something I don't. Anyone? I would love to know...

This is today so far on a 1m graph

upload_2017-4-4_13-11-59.png
 
TradingDemystified said:
If what you mean by "Do you think it is possible to trade the bars ?" is to take advantage of intraday fluctuations between the pair, here's what I see:

- Based on today's data the difference between the two oscilates between -0.8 and -1.4 so that is a 0.6 /ES point swings (i.e. slightly more than 2 /ES ticks)
- The pattern is consistent for prior days, but the high and low are different, for example yesterday it was -0.7 to -1.45
- Considering the bid/ask spread on /ES is 1 tick I do not believe you could trade in and out profitably consistently during the day

Maybe someone else sees something I don't. Anyone? I would love to know...

This is today so far on a 1m graph

View attachment 172381
More...
I agree with you! Still NO coon up that tree!
 
10x SPY vs ES(June)
upload_2017-4-5_11-52-23.png


Those high bars you speak of, @raf_bcn, are probably because of overlapping closed for trading hrs. When SPY is closed and ES still trades. I only show regular trading hours here, but they don't match up between SPY and ES. Also, ES June from before December is probably a bit patchy...

There's no real opportunity here. Only reoccurring effect I see is the quarterly dividend drop of about 1 in SPY (10 in ES points). And a decline in SPY, but that's because of costs associated with the ETF. If you try to arb that, you'll be paying short stock fees for SPY and still don't make anything....
 
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