Arbitrage the QQQ and NQ

Discussion in 'Trading' started by dpg2020, Jul 1, 2003.

  1. dpg2020


    I'm a new trader and need some advice. I've noticed that the NQ and QQQ always differ a bit in percent price change at any given point during the day. In other words, their percent change on the day always fluctuates between 0-0.20% difference. Is it possible to arbitrage this difference since the price will virtually always go back to the 0% difference. Thanks.
  2. Yes ...
  3. nitro


    Need computer execution and fast lines though?

  4. to be swinging a pretty big line to effectively arb this spread. I kicked this idea around several years ago -- but it's just like the big players arbing the spoo vs cash. Unless you're trading multi-millions and you have sophisticated computer execution -- it's 100% wasted time.

  5. Yes, and it is an old trade with thin margins now ...
  6. I know some smaller traders still doing it; problem is the edge is now thin ...
  7. The main problem might be with getting QQQ executed at the last price you see. I'm not following QQQ anymore but, I used to follow it with the Island order book where it had very good liquidy. Sometimes, the last trade I see on Island was almost $0.10 away from data feed's last trade. Then once in a while block trades would hit the tape away from the bid/ask.

    I remember reading on IB's message boards that people were complaining about QQQs market getting crossed and not get executed even if they hit the bid/ask.