I know SSF have only traded for 1 day, but has anyone tried playing the SSF against the stock to make a tick or two. I tracked Dell for example yesterday on my TWS with IB and you could have easily bought Dell stock many times for $.02 cheaper than the bid on the SSF for Dell. Buy Dell at $29.76 and sell the future for $29.78. Anyone have a take on this? Is it feasible and cost effective in large quantities with IB's commission rate? If it can be done, is there any downside to this? I guess you'd have to wait for the futures to expire and be converted to actual stock before taking your gain (or loss). Thoughts.
You could do that... or you could take the money you have tied up and put it into a savings account till expiration (unless you actually LIKE getting an annual interest rate of 0.4%). Oh, BTW, that figure is without commissions. If you're paying a penny a share both ways, then that means you net 0. (minus any stock delivery costs you incur).
By thier nature, futures will almost always trade at a premium to the common. This is because you don't have to pay interest on money tied up in the stock position. As you get closer to expiration, the spread will narrow to 0. In a higher interest rate environment, the premium will be larger. Not being entitled to any dividends also plays into the calculation of your ''cost of carry''. By determining what the fair value of the contract is based on the stock's price, the interest rate you pay, the size of the dividend and when it's paid, you can identify if a viable arbitrage opportunity exists.
BAC SSF were trading all day 50 to 75 cents below the stock price. Is this just because it was the first day of trading and prices hadn't settled yet?
maybe not that particular one, but you are thinking. It's a thinking mans game. Powerful computers are looking for that kind of stuff all day. But delta neutral traders may pass on a trade with too much risk, and maybe you can take it. lot of possibilities now, ssf vs stocks vs options vs etfs vs. nbi vs es vs ym vs ssf vs stocks vs options. The biggest problem is you end up being directional with twice the cost. If you ask advice and people tell you it won't work, that just means they couldn't make it work. You've already ignored the advice that you can't make money trading, so don't stop ignoring advice now. There's opportunity out there in spreading, and someone is going to make it. It aint gonna be me, but it could be you if you want it.
With freehouses info, if you don't know why BAC was not out of line, then I advise you to not trade SSF's until you read the education material on NQLX's web site and OneChicago and understand that a future is valued at a later date while the stock is the present value (SSF=stock +interest -dividends)
Based on traders I talked to who traded it on Friday (I didn't). It appears that there is opportunity on the surface, but not liquidity. You may be able to get in a lot easier than you can get out. However, if you add liquidity at the right places, you might get taken for a decent profit (just have fast fingers or a good program).