SPX vs SPY - spread comparison and greeks

A

Abundance Magnet

Hi,

Curious as to how ppl's experience has been in trading spreads in spy vs SPX. Greeks, iv etc... How have you found they compared? Can a successful spy trader move to SPX with the same market feel and trading strategies, or how is it different?

Likewise... What are ppl's experiences with qqq vs ndx?

Thanks
 
While I had limited trading in SPY options, if you are comfortable with that (SPY option trading) and your trading is not dependent on some dividend related artifact, then the move to SPX (assuming the 10X size is part of the reason for the transition) should be smooth. European style, and section 1256 contracts (assuming you are U.S.) are positive changes. If your trading is dependent on accurate IV (and greeks), you should examine your broker's implement ion of them first.
 
stepandfetchit said:
While I had limited trading in SPY options, if you are comfortable with that (SPY option trading) and your trading is not dependent on some dividend related artifact, then the move to SPX (assuming the 10X size is part of the reason for the transition) should be smooth. European style, and section 1256 contracts (assuming you are U.S.) are positive changes. If your trading is dependent on accurate IV (and greeks), you should examine your broker's implement ion of them first.
More...
yeah, i've noticed that the greeks are different in different broker's. e.g IB vs the other smaller shop I use. I've actually asked about what exact formula they use but couldn't get the answer.
 
Abundance Magnet said:
yeah, i've noticed that the greeks are different in different broker's. e.g IB vs the other smaller shop I use. I've actually asked about what exact formula they use but couldn't get the answer.
More...
I think most brokers supply "fairly close" IV/greeks, which is adequate for the masses. This allows them to use generic implementations where a one size (or few size) fits all mentality is acceptable. They seem to improve there derivation only when they fear they may loose clients if they don't (a put in the cost/work only when justified financially) <-- It is a workable scenario. -- I don't think they SHOULD provide their derivation as that could be a hindrance from them improving it! -- for example: TOS does not fully document much of their ThinkScript functionality, while this can be painful to a client, it allows them to develop/change without "legacy support" issues like we all had to deal with in the industry.
 
not sure i agree with that. I view them as data sets and part of the 'language' by which we use to determine and assess our trades. Likewise, many books (and courses) have been written about how important it is to understand the greeks. It makes sense that the greeks should be consistent. We don't control the pricing, the MM determine the bid-ask. they get to widen the spreads, set what each MM thinks is the effect on the change in volatility. the data sets should be somewhat universal. Alternatively, if not universal, let us know what the formula is so we can equate appropriately. Likewise, there is software out there that captures the greeks, but what formula are they using? and how can we use that information to make a trade decision when our broker provides different greeks? At least that's how i see it.
 
IMHO: If you need to depend on the accuracy/precision of the Greeks & IV, one may derive their own. I do my own for my SPX trading. I don't suggest this is appropriate for most traders, however. Again, it depends on your requirement for precision! I do NOT do my own for other underlying where the precision of the broker is close enough for those trades.
I have more precision in my IV/Greeks than my current SPX trading requires, which is a comfortable compromise for me. The details of the derivations are beyond the scope of EliteTrader posts!
 
They are basically the same, since they move the same... both are on SP500.

Difference in some greeks would be due to difference in maturity... difference in American vs European... difference in dividend dates. Possibly some difference in interest rate, since ETF rate is involved.

IV should be the same, since the underlying vol is basically the same...
 
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