Do the e-minis lead the QQQ and SPY?

Discussion in 'Trading' started by trader3, Oct 1, 2002.

  1. trader3


    I was wondering if anyone can clearly tell a majority of the time if the e-minis lead the QQQ and the SPY?
  2. I think the e minis and mini dow stock index futures
    might lead but not by much and not all the time

    the arbs keep it in line usually
  3. We have found there is usually a lag of only a second or two at best because program arbitrage traders keep the ETFs in line with the futures.

    Although there is not a big difference between QQQ/SPY and the futures, we have noticed there is indeed a bigger lag time with some of the sector ETFs and HOLDRS such as BBH, SMH, OIH, etc.

    In general, the less liquid the ETF, the more opportunity for a premium we have found.