Who leads whom; ES or COMP?

December 11th, 2012, 08:04 PM

josh

If your question had a definitive answer, risk-free arbitrage would be possible and the market would not function.

In other words, it depends. They are each a basket of stocks, and it depends on the basket and on how arbitrageurs operate at any given time.

Today NQ (not COMP as I do not watch the cash) was quite a bit stronger and was making new highs before ES did its stop run. In this case, NQ led. later in the day it made another run while ES did not budge. It "led" but the ES did not follow.

So, again, it depends.

I know of a website that might be relevant to this discussion. Program Trading, Fair Value, Index Arbitrage Values - indexArb.com .

December 11th, 2012, 08:11 PM

Perhaps, though I think that mostly deals with cash/futures arb, not inter-market arbitrage.

December 11th, 2012, 08:38 PM

just to clarify: the cash for nasdaq futures (NQ) is not nasdaq composite (COMP), it's nasdaq-100 (NDX).

and if looking for leading indices, I like the russell 2000. widely used is also the dow transport index.

but also instead of indices, I prefer to look at sectors.

December 12th, 2012, 09:50 AM

here's a comparison between spx, ndx and rut

December 12th, 2012, 11:53 PM

Zondor: Great comparison, thank you.
Ohhh by the way, love that totally awesome necktie!

Zondor

Profound!

@Joseph689, here are a few charts that show which was the dog and which was the tail, at least today.

The ES is in the top panel, and the Nasdaq COMP in the lower panel of each chart.

So do look at them, assuming you are able to take your eyes off of my stunning necktie.

Unfortunately I am unable to offer the necktie for sale as that would require my status to be changed to Vendor.

December 13th, 2012, 12:04 AM

Silvester17

here's a comparison between spx, ndx and rut

Nasdaq appears to overreact more to the topside more then the other 2.

Russel does appear to lead!!

Who leads whom; ES or COMP?

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Who leads whom; ES or COMP?