For these statements, you're referring to the CBOE cash index right? Do you mean the basis spreads like 10*SPY - SPX and ES - SPX when you say that? Thanks for the info.
i would say due to the fragmentation in trading venues and dark pools as well as a swap venue and look a like contracts as well as the futures narkets all at work on price along with individual components movements all at the same nano seconds that at that level of play it is pure white noise bound by the arbs layering with drift. this is hft territory. you must spend 10 to 20 million a year as a tech budget to have this matter. sure its there but you cannot exploit the white noise in the system. its not possible. they own the bid ask spread! they are the bid ask spread. its the narrowest.
Yes. As I said, SOQ is a separate story with its own quirks. I am not @newwurldmn but I am pretty sure what he meant - intraday NAV/ETF arbitrage for SPYs or other ETFs based on S&P500 and EFP arbitrage for the futures.
I have looked at the article here, but I think it is missing the details. I was hoping to also find out where Standard and Poor's has official documentation on the index calculation, which I can't seem to find on Google. For example, CBOE has good documentation on how the VIX is calculated.
https://www.spglobal.com/spdji/en/documents/methodologies/methodology-sp-us-indices.pdf Here you go. On the 4th page they have links to various supporting documents, too.
It was two levels deep in, but I think this is the quote I was looking for, that you mentioned in the first post: * http://us.spindices.com/documents/methodologies/methodology-sp-equity-indices-policies-practices.pdf