Discussion in 'Stocks' started by gmst, Jul 25, 2012.

  1. gmst


    I trade ES and have never really looked at SPY data in detail - but it seems that transaction costs while trading SPY will be much lower than trading ES - especially the bid-ask spread. B/a spread is 0.25 for ES, whereas for SPY it is 1 cent, therefore, if you multiply SPY price by 10 to make it roughly equivalent to ES price, then it means that SPY bid-ask is 10 cents = 0.1. So, bid-ask spread wise, trading SPY is much more advantageous than trading ES. I reckon that ES and SPY would trade identically - for otherwise there would be arbitrage - and this is a crucial condition that needs to meet.

    Since I have not really looked at the data, I could be completely off here, but I am curious to hear others opinion on this topic. Thanks.
  2. You are completely off.

    Try again.
  3. commissions structures are different.
    Other than that, you are right - liquidity is comparable.
  4. 500 spy = 1 es
    Spy eligible for dividends
    Spy Options tighter and liquid.

    Take a look at the 2x and 3x S&P ETF's for hedging intraday ES plays.
  5. 1 ES = 500 SPY

    It's probably the most well kept arbitrage band in existence outside the FX markets. SPY is cheaper to trade in terms of slippage and bid/ask spread, however ES is more advantageous from a leverage perspective.
  6. gmst


    Thanks, that was the exact information I was looking - lower trading cost - terms of b/a spread and also slippage (thats A+).

    Btw, I have seen the blog - no doubt guy is doing good research but to me his research does not has much value since I don't operate in low-latency microsecond space.
  7. GTS


    There is also the favorable tax treatment of futures over stocks (and easier tax filing for futures, e.g. no trade itemization required)
  8. ram


    What about trading SPY options? A recent webinar guru claims there is a better R:R trading these over ES futures. He was discussing daytrading ATM weekly SPY options. I'm currently researching this, but would appreciate any comments.
  9. Did a post say they have comparable liquidity?

    The ES rth volume is comparable to the volume of the nasdaq for a month.