SPX VS SPY Weeklys

Ammo--good point. That is why I said you need to price compare and see if it is worthwhile. Now for my question: can you fill 500 spreads on SPY easily for 0.01 off the mid?? If you can, you could take off SPX risk (more or less- see my previous post) with an SPY trade if necessary.

For the SPX, I have found the fills for 5 contract spreads (verticals, condors or butterflies) are the best for price and the efficiency of reasonably quick fills. Unfortunately if you want to do volume, that often means multiple orders and waits between the orders. I have also noticed that if you repeat an order for a 5 lot many times the price will start to creep upward. It is especially bad during expiry week, and nasty on the last day. I try to avoid trading during that time, taking profits and rolling into the next month during the previous week, if at all reasonable.

I'm looking for electronic trading, too, and hope that more liquidity and traders will narrow the spreads and improve our ability to cross trades more quickly at a fair price. I don't really mind giving up 5 cents for slippage on each trade. That seems pretty reasonable considering the risk that market makers carry. Hopefully, everyone will see it that way and make the process almost automatic and allow 50 lot trades with speed and efficiency.
 
you are right about size,you have to be right and leg in and start getting out before reaching anticipated target,leaving an exit sprd if your lucky,to whitttle down ,buying the apr 1300 1230 put sprd for $10 -11 pays off a lot better than the spy 130/123 put sprd
 
ES I've found will very often trade at or below the mid a surprising amount of the time. A few times I've made money just by opening a trade up at one point and closing it a little while later, at below and above the mid. Strange, but true. I figure it had to be accidents of circumstance, it just can't be anything that would sustain. But it has happened to me.
 
Quote from JohnGreen:

Here's why I trade the SPX (usually) and not the SPY.
1) The SPX is 10X bigger. This means trading a far smaller amount of options. Commissions are on a per option basis most of the time, usually with a minimum amount, but once you start trading 50 or more SPY, you should think seriously about the SPX because the commissions are going to be a lot less for 5 SPX.

2) You need to factor in the size difference when you think about bid-ask spreads. Because of the size difference, $0.50 in the SPX is the same as $0.05 in the SPY. Often the SPX quotes with wide spreads, but the "inside" market is pretty similar. After all, you could use one product to hedge the other fairly easily (with one exception outlined below). If you consistently offer close to the midprice on SPX spreads- which I trade fairly often--, I have found that usually you can get filled at 0.10 to 0.15 off the mid, and sometimes less. I have actually been filled at less than the mid once or twice! This corresponds to less than 0.02 difference for SPY, which is not that much different than the quotes you will see.

3) European settlement is much better. The SPX is settled for cash. In other words, if your call or put is in the money according to the SET, then you will be paid in cash for the difference between your strike and the SET times 100 X the amount of options you own (or have sold short--in that case, you obviously owe cash). This is simple and effective and eliminates the need to sell or buy shares at anytime. Also, there is no need to worry about exercise or assignment. It won't happen. In fact, I think all options should work this way. The SPY is potentially messy by comparison. I have carried some monthly SPX options into the SET and thinkorswim frees my margin by about 10:00 CST on Friday morning. Cash for ITM options is deposited Saturday morning and fully available for trading on the next Monday.

In the end, it probably makes sense to compare them side by side and see which is the better deal on each possible transaction. I think you'll find the prices are fairly close and that commissions and the European structure tip the deal slightly in favor of SPX most times.
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Thanks for your post. You mention SPX is european style. I could not confirm that anywhere. Please give more details. Thanks
 
3 points:

1-SPX options are definitely not as liquid as SPY ones. Check the last trades on SPX options and compare them with SPY ones. SPY options are traded to the last second but last SPX options trades are sometimes 2 hours old.

2- In case market goes against you and a liquidation is immiment, you will get liquidated on at least 1 SPY option which is equal to 10 SPY option. Although in reality only 1/10 of that liquidation might have been enough.

3- With SPY options , you can micro manage your position much better (like delta neutral strategies).
 
Quote from hajimow:

3 points:

1-SPX options are definitely not as liquid as SPY ones. Check the last trades on SPX options and compare them with SPY ones. SPY options are traded to the last second but last SPX options trades are sometimes 2 hours old.

2- In case market goes against you and a liquidation is immiment, you will get liquidated on at least 1 SPY option which is equal to 10 SPY option. Although in reality only 1/10 of that liquidation might have been enough.

3- With SPY options , you can micro manage your position much better (like delta neutral strategies).
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I'm still trading the SPY Weeklys exclusively. The SPX weeklys just aren't attracting the volume and tight spreads that the SPY has.

A real shame. Commission wise it would save me a ton.:mad:

They should offer some short term incentives to get people moved over.
 
Quote from Cdntrader:

I'm still trading the SPY Weeklys exclusively. The SPX weeklys just aren't attracting the volume and tight spreads that the SPY has.

A real shame. Commission wise it would save me a ton.:mad:

They should offer some short term incentives to get people moved over.
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This is not what I noticed. I mainly trade the SPX weeklies. Option prices under 3 are between .10 and .20 wide (equal to .01 and .02 on SPY) Higher priced options are usually between .20 and .40 wide. Can't get much tighter than that. Their electronic platform gives instant fills as well (unlike SPX options). The only problem is expiration week when there are no weeklies just the standard extra wide SPX options.
 
Quote from FSU:

This is not what I noticed. I mainly trade the SPX weeklies. Option prices under 3 are between .10 and .20 wide (equal to .01 and .02 on SPY) Higher priced options are usually between .20 and .40 wide. Can't get much tighter than that. Their electronic platform gives instant fills as well (unlike SPX options). The only problem is expiration week when there are no weeklies just the standard extra wide SPX options.
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under 3?thats like .30 ct SPY options. I usually trade ATM , so between 8 and 20 buck options on the SPX lets say. The spreads and liquidty there don't measure up.

D0 you trade way OTM? or 2 hrs before expiry fridays?:)
 
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