ES and S&P 500 Futures Correlation?

Discussion in 'Index Futures' started by BoyBrutus, May 13, 2006.

  1. Who here looks at the S&P 500 Futures as well as the ES data.

    What is the delay in the S&P 500 Futures T&S reporting?

    Can volume on the S&P 500 Futures help with the ES trading? can anyone make a comment on their correlation.

    What about an audio feed from the futures pit, any help? or any recommendations.

  2. rosy


    i assume correlation is 1. if not, i will write a program to take advantage of it.

    An audio feed from the SP500 pit would be the sounds of crickets.
  3. Big S&P data is not used by anyone!! ES is the real contract.

    T&S for the big S&P is entered manually by a market reported. The delay in reporting can be from a couple of seconds to minutes depending on market volatility.

    NO!! NO!! NO!!
    Volume in the S&P is mostly prehistoric locals still trying to trade a dead product. They will be correlated because there are arbitrage traders in the S&P pit who keep it in line.

    Waste of time. My only recommendation would be forget about the pit traded contract! The market is the emini.

    PM me if you have any further questions or need advice.
  4. toc


    You say market is e-mini, would you be able to tell as to how are the fills on when trading 100-200 e-mini contracts on a position. Do they get filled at once or take time.
  5. You might get software that will allow you to make spread charts. You will be amazed at how fast the arbitraguers are. You have billions of dollars out there searching for any llittle inefficiency. You would be better off spending your time looking for something other than leading indicators.
  6. esmjb


    there is some value to a pit audio feed as sometimes the pit leads the mini but it is very rare, ES is where its at now...
  7. rosy


    i worked in the sp500 pit (not as a trader) when the eurodollars traded on the same floor. year 1992. the eurodollar pit would start to roar and then about 5 seconds later SPs got active. So maybe audio of eurodollars might be good.
  8. tomhaden


    I trade the ES and YM contracts and listen to the S&P (big) pit noise.

    Works great for me.
  9. Thankyou for your replies everyone its very helpful. Seems to confirm my suspicions.
  10. RedDuke


    I thought both contracts are closely correlated. How often/if ever one leads another?

    #10     May 14, 2006