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SPX/ES/SPY: who leads and who follows and why?


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SPX/ES/SPY: who leads and who follows and why?

  #11 (permalink)
 snusnufreak 
Moscow Russia
 
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Here is an articel on zerohedge I found, there is a link in coments there to a PDF file where some guy discusses mechanism in detail, haven't read it completely yet, but his main idea is that SPY and ES are better correlated with each other than either one of them with the SPX

SPY vs ES: Who?s leading the S&P 500? | ZeroHedge

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  #12 (permalink)
 
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 GridKing 
San Diego, CA USA
 
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and actually, I wouldn't be surprised at this point if options lead them all.....

Index options, Leaps , single stock futures options , the list is endless....



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  #13 (permalink)
 snusnufreak 
Moscow Russia
 
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GridKing View Post
and actually, I wouldn't be surprised at this point if options lead them all.....

LoL, this would be just too much for my brain

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  #14 (permalink)
BlackSwan04
Boise Idaho/US
 
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snusnufreak View Post
LoL, this would be just too much for my brain

It's gotta be automated somehow. No one can keep track of the overnight underlying prices, dividend payouts, options, etc. and put it all together into what the opening price should be.
But, time after time, the indexes gap too close to the contract price (minus open interest) to be random.
They've got to be pegging it with algos or some sort of automated monitoring software.

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  #15 (permalink)
 
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 GridKing 
San Diego, CA USA
 
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BlackSwan04 View Post
It's gotta be automated somehow. No one can keep track of the overnight underlying prices, dividend payouts, options, etc. and put it all together into what the opening price should be.
But, time after time, the indexes gap too close to the contract price (minus open interest) to be random.
They've got to be pegging it with algos or some sort of automated monitoring software.

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https://indexarb.com/


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Program Trading Premium Execution Levels & 92.00% of Total Volume*
Our Fair Value for the S&P 500 today is $-5.25 That price level will not change during the day. Our computers are set for program buying at $-4.15 and set for program selling at $-6.35. If you would like to watch these program buying and selling execution levels, you need to program your trading platform and software and use the correct data feeds.

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  #16 (permalink)
BlackSwan04
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GridKing View Post
Program Trading uses $Prem calculations, DTN offers $Prem indexes on many underliers now

Nice Find.

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  #17 (permalink)
 
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 GridKing 
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@Big Mike started a thread on this, if anyone wants to add to it...



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  #18 (permalink)
gmax1mum
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BlackSwan04 View Post
If I may interject...

While the underlying stocks on the S&P 500 may trade overnight, the actual index only tracks them during US market hours. Whereas the futures that trade overnight can track the individual stocks and project it's value in real time.
When the market opens, the SPX then gaps to what the value of the underlying stocks require it to be.
So... (if I understand all this correctly), the underlying stocks ultimately lead both the value of the actual index as well as the futures that correspond to them, and the gap is due to the index only tracking during US market hours.

Regards,
BlackSwan

Hey Black Swan, I am in Boise as well. Was wondering if we could discuss trading, Im always down to share ideas and talk about things. Shoot me an email garrettmaxwell23 at gmail.com

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