Can somebody explain the concept of index futures?

Discussion in 'Index Futures' started by anituchka, Sep 13, 2010.

  1. bone

    bone

    You have to look at the component weighting in the basket and the relative execution slippage and liquidity costs for doing the individual stocks making up the basket and/or the SPY versus the futures index.

    The conclusion is that the index futures will provide more liquidity at the best price versus the physical underlying.

    Calculate the slippage costs and the inherent exposure value of the ES best bid/offer compared to the SPY and the point becomes apparent.
     
    #11     Sep 14, 2010
  2. joe4422

    joe4422

    I thought maybe people were picking on you when they called you out for having no idea what you were talking about, but wow, for some one with so much experience, you are very ignorant. You cannot compare SPY to the ES. ES is a cash settled index, period.

    SPY will always far out perform both the $SPX and the ES. This is because SPY owns that actually stocks, and collects the dividends, whereas the ES collects no dividends, and in fact, is punished by them.

    I would stop posting if I were you. You're giving your self away.
     
    #12     Sep 15, 2010
  3. bone

    bone

    Joe, I'm obviously referring to the actual trading liquidity differences between ES and SPY, because I personally trade them every day. I obviously never intended to give the stock Wikipedia answer.

    Quit starting crap and heed your own petty admonishments.
     
    #13     Sep 15, 2010
  4. Is my understanding correct that future expiration in relation to index futures is really irrelevant but what about future expiration in relation to other futures, cotton, soy, gold? Is this a different story?
     
    #14     Sep 15, 2010
  5. obsidian

    obsidian

    It is not true that SPY will always outperform ES. If that were true, you could buy SPY sell ES and make a killing on the "guaranteed outperformance."

    I'm going to let you think it through a bit, but let's say you buy future sell basket (SPY). Think about how that future will be priced in relation to the index if there are 5 pts of dividends remaining before expiry settlement of the future. What you are really exposed to is changes in expected dividends and short-term USD rates.
     
    #15     Sep 15, 2010
  6. emg

    emg

    click es journal and look for emg
     
    #16     Sep 15, 2010