SPY v ES

larrybf · Aug 2, 2009

did you ever switch to the es futures???..........i am curious because I have traded both and now I only trade the SPY for all the reasons mentioned in the thread........

i005890 · Aug 2, 2009

Quote from ChkitOut:

SPY has a penny spread.

ES has 2.5 penny spread (relatively speaking)

Could be a big deal depending on strategy.

I mapped out the spread on an equivalent position in SPX v. ES v. SPY in a spreadsheet a few weeks ago. There really was no difference to the mid-price.

NoDoji · Aug 2, 2009

Steve posted an ES/SPY comparison showing how similar the profits are trading the same setup.

I would think if holding overnight, ES is your safest bet because a stop remains active outside regular trading hours. If overseas market action or news caused price to run seriously against you, you're stopped out of ES, but you wake up to a nasty gap with your SPY position.

short&naked · Aug 2, 2009

Quote from NoDoji:

Steve posted an ES/SPY comparison showing how similar the profits are trading the same setup.

I would think if holding overnight, ES is your safest bet because a stop remains active outside regular trading hours. If overseas market action or news caused price to run seriously against you, you're stopped out of ES, but you wake up to a nasty gap with your SPY position.

Very good post. In fact, position trading any stock is finanical suicide in the long run.

FastandFurious · Aug 3, 2009

Quote from Susannah:

ES gets better treatment for taxes (part of your profits are long-term gains no matter how long you hold). 1 ES contract = 500 SPY shares, so you can compare commissions using that ratio.

Probably just depends on how much commission you're paying and how much you trade whether or not getting the favorable tax treatment will make futures worth it.

Both have pretty huge liquidity, so I don't think it really makes too much of a difference.

ES does trade all night, if that matters to you at all, you can get out of a position almost always, trading is closed 3:15-3:30 and 4:30-5:00 (Chicago time) everyday, and from 3:15 on Friday until 5:00 on Sunday.

maybe you can clear things up a little bit for me. I understand that to be dollar neutral, 1 Emini is 500 shares of SPY. However, Emini trades in .25 ticks and SPY trades in $.01 and 500 shares for a .01 move is only $5. if Emini moves 1 point on a 1 lot (4 price levels), that's $50 ($12.50 x 4) however, it would take $.10 (10 price levels) for SPY to match the same pnl.

kinda confused and new at this. Hope you can help me out.

MTE · Aug 3, 2009

Quote from FastandFurious:

maybe you can clear things up a little bit for me. I understand that to be dollar neutral, 1 Emini is 500 shares of SPY. However, Emini trades in .25 ticks and SPY trades in $.01 and 500 shares for a .01 move is only $5. if Emini moves 1 point on a 1 lot (4 price levels), that's $50 ($12.50 x 4) however, it would take $.10 (10 price levels) for SPY to match the same pnl.

kinda confused and new at this. Hope you can help me out.

1 point move in ES is equal to 0.1 point move in SPY and not 0.01.

Bolimomo · Aug 3, 2009

Quote from FastandFurious:

maybe you can clear things up a little bit for me. I understand that to be dollar neutral, 1 Emini is 500 shares of SPY. However, Emini trades in .25 ticks and SPY trades in $.01 and 500 shares for a .01 move is only $5. if Emini moves 1 point on a 1 lot (4 price levels), that's $50 ($12.50 x 4) however, it would take $.10 (10 price levels) for SPY to match the same pnl.

This is correct. SPY is more "granular"than ES. Which is why I prefer to trade SPY over ES. However with the tax treatment and the recent SEC fee hike, it seems more advantageous to trade ES over SPY if you are not scalping on pennies.

FastandFurious · Aug 3, 2009

Quote from MTE:

1 point move in ES is equal to 0.1 point move in SPY and not 0.01.

I guess I just find that hard to believe (though I never looked at an order book and price action of the two) that it will take SPY to move 10 ticks and ES to move only 4. Last time I checked, both books are pretty stacked.

MTE · Aug 3, 2009

Quote from FastandFurious:

I guess I just find that hard to believe (though I never looked at an order book and price action of the two) that it will take SPY to move 10 ticks and ES to move only 4. Last time I checked, both books are pretty stacked.

Who cares about ticks, the tick size is absolutely irrelevant here. We are talking about equivalent price moves. SPY is 1/10th the SPX. So if SPX/ES moves from 980 to 981, then that's the equivalent of a move from 98 to 98.1 in SPY.

FastandFurious · Aug 3, 2009

Quote from MTE:

Who cares about ticks, the tick size is absolutely irrelevant here. We are talking about equivalent price moves. SPY is 1/10th the SPX. So if SPX/ES moves from 980 to 981, then that's the equivalent of a move from 98 to 98.1 in SPY.

in terms of % moves then yes, initiating at 0 dollar difference is the way to go. Just a quick follow up question. In order to spread anything, any market (intra or intermarket) we just have to balance out the notional value no? Besides yield spreads, DV01 is better