S&P500 index and S&P500 index futures correlation - Emini Index Futures Trading | futures io social day trading
futures io futures trading


S&P500 index and S&P500 index futures correlation
Updated: Views / Replies:6,449 / 15
Created: by ocmsrzr Attachments:1

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 1  
 
Thread Tools Search this Thread
 

S&P500 index and S&P500 index futures correlation

  #11 (permalink)
Elite Member
Paris
 
Futures Experience: None
Platform: NinjaTrader
 
Posts: 1,177 since Oct 2009
Thanks: 228 given, 4,097 received

No, I tried doing some arbitrage using IB's basket trading capabilities. But of course you can't arbitrage the SP500 being a retail !

Reply With Quote
 
  #12 (permalink)
Elite Member
australia
 
Futures Experience: Beginner
Platform: NinjaTrader
Favorite Futures: -
 
Posts: 300 since Sep 2010
Thanks: 123 given, 137 received

Since ES is tied to index, does this mean volume analysis of ES is meaningless?

Hypothetically even if all the contracts on the ask side of a price level had been bought up, the price will still move down if the index comes down?

Reply With Quote
The following user says Thank You to jonc for this post:
 
  #13 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,602 received
Forum Reputation: Legendary



gomi View Post
No, I tried doing some arbitrage using IB's basket trading capabilities. But of course you can't arbitrage the SP500 being a retail !


You are kidding.

I believe that there is little direct arbitrage and that advanced order execution algorithms take care of the problem. I can imagine several configurations where you do not need direct arbitrage.

(a) An implementation shortfall algorithm could take advantage of a differential between the futures and the basket of stocks, by trading more aggressively when the differential widens

(b) A broker who has a sufficient inventory of the underlying basket and who executes a large order of that basket, could execute the futures market instead and take on the basket onto his own book, if the differential widens. The two positions would offset each other in the book of the broker, and he could post a profit on that without buying or selling any of the shares. Next day he could use the same approach for a reverse order, thus replenishing its original stock of the underlying basket.

In any case the futures market can react faster to these differentials. However there is a risk that the differential signals a breakout. In this case a passive implementation shortfall algorithm would increase the risk as there will be no mean reversion and the stocks would follow the breakout.

So even statistical arbitrage or implementation shortfall algorithms need a trend filter (an opportunistic component).

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
  #14 (permalink)
Elite Member
london united kingdom
 
Futures Experience: None
Platform: Sierra Chart, S5T
Favorite Futures: ES
 
para6ut's Avatar
 
Posts: 58 since Jun 2012
Thanks: 1,219 given, 89 received

ES vs SPX dictating prices


jonc View Post
Since ES is tied to index, does this mean volume analysis of ES is meaningless?

Hypothetically even if all the contracts on the ask side of a price level had been bought up, the price will still move down if the index comes down?

@Fat Tails, @Silvester 17,

Which one is a true statement:

A) Big ES mini ( futures ) traders can't move ES prices, cos all is a weighted average of individual SP 500 stocks' prices.

B) Bids and Offers ( or sizable tape prints ) can only be taken into consideration ( when trading es mini ) as a measure of sentiment, and not actually of market forces, since in the ES mini they have no effect over the actual price?

or

C) Participants in the ES futures market can actually manipulate or lead ( move ) prices of SP 500 cash somehow through the arbitrage?



Thank you

Reply With Quote
The following user says Thank You to para6ut for this post:
 
  #15 (permalink)
Market Wizard
Columbus, OH
 
Futures Experience: None
Platform: NT 8, TOS
Favorite Futures: ES
 
Silvester17's Avatar
 
Posts: 3,332 since Aug 2009
Thanks: 4,579 given, 10,313 received


para6ut View Post
@Fat Tails, @Silvester 17,

Which one is a true statement:

A) Big ES mini ( futures ) traders can't move ES prices, cos all is a weighted average of individual SP 500 stocks' prices.

B) Bids and Offers ( or sizable tape prints ) can only be taken into consideration ( when trading es mini ) as a measure of sentiment, and not actually of market forces, since in the ES mini they have no effect over the actual price?

or

C) Participants in the ES futures market can actually manipulate or lead ( move ) prices of SP 500 cash somehow through the arbitrage?



Thank you

@para6ut,

any movement in futures, etf, heavy weighted stocks, etc will have an impact on the s&p 500 cash index. if there's a big buyer in es futures, the arbitrage guys will sell futures and buy the cash to bring it back to fair value.

statement a) = false.

statement b) as bids and offers are only limit orders, they have no impact on price. but they will have an impact as soon as they get hit / executed.

statement c) yes, participants in the es futures market can easily manipulate / lead prices of the cash index.

maybe the following link will help a little:

Program Trading, Fair Value, Index Arbitrage Values - indexArb.com

Reply With Quote
The following 6 users say Thank You to Silvester17 for this post:
 
  #16 (permalink)
Elite Member
london united kingdom
 
Futures Experience: None
Platform: Sierra Chart, S5T
Favorite Futures: ES
 
para6ut's Avatar
 
Posts: 58 since Jun 2012
Thanks: 1,219 given, 89 received

Relation ES and SPX


Silvester17 View Post
@para6ut,

any movement in futures, etf, heavy weighted stocks, etc will have an impact on the s&p 500 cash index. if there's a big buyer in es futures, the arbitrage guys will sell futures and buy the cash to bring it back to fair value.

statement a) = false.

statement b) as bids and offers are only limit orders, they have no impact on price. but they will have an impact as soon as they get hit / executed.

statement c) yes, participants in the es futures market can easily manipulate / lead prices of the cash index.

maybe the following link will help a little:

Program Trading, Fair Value, Index Arbitrage Values - indexArb.com

Silvester17,

As usual - you are a gentleman!

Thanks

Reply With Quote
The following user says Thank You to para6ut for this post:

Reply



futures io > > > > S&P500 index and S&P500 index futures correlation

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Comparing Index Futures Fat Tails The Elite Circle 131 March 20th, 2015 03:54 PM
Why do YOU trade commodity and index futures rather than forex? Arpad Psychology and Money Management 33 August 25th, 2011 06:25 AM
Comparing Index Futures Big Mike Emini Index Futures Trading 0 November 18th, 2010 04:15 PM
Index Futures Trading Subforum Big Mike Emini Index Futures Trading 0 October 28th, 2010 01:02 AM
What makes an index like the S&P 500 tick trendisyourfriend Emini Index Futures Trading 16 September 27th, 2010 03:33 PM


All times are GMT -4. The time now is 12:24 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-16 in 0.11 seconds with 32 queries on phoenix via your IP 54.226.113.250