Spread/Pairs Trade Between ETF and futures

Discussion in 'Trading' started by virtualmoney, Jun 29, 2009.

  1. Is anyone here also spread trading between ETF and the corresponding futures? I am looking for a pair that have sufficient difference in spread to cover transaction cost. Please share your experience here.


  2. sounds too tricky to me, maybe i'm wrong. even if you're right on the concept

    1) timing. the first question i would ask myself is: there are probably a lot of professional arbitrageurs who are watching the same ratio like hawks, and can jump in within milliseconds . .. can i do it faster, or do i have to?

    2) volume: you probably need a lot of volume to get meaningful gains.
  3. Vat milliseconds? look at the chart, it takes a few days for them to converge...
  4. Are you actually trading this or just developing the idea?
  5. Trading ES vs SPY but looking for better ones
  6. have you looked at SPY/RUT (Russell)?
  7. I also analyse different indices pairs ratio but the spread topic here is between the exact same index ETF and futures.
  8. Do you account for dividends?
    And carrying charges?
  9. YM and DIA may work for you.
  10. Are you sure that the closing time on your chart is the same on the ETFs (16:00) as in the futures (???)?
    If not, lol^3
    I hardly see how theses trades are not already arbed away.
    #10     Jun 29, 2009