Thread is looking for info about the Russ/ S&P only

Discussion in 'Trading' started by cml2949, Mar 15, 2006.

  1. cml2949


    What is the correlation between the Russell 100 and the S&P? I hear that its close to 99%.. Any ideas? With links or support please?

    Thanks in advance...

  2. The Russell 1000 Index and the S&P 500 Index have a strong correlation...the exact percentage is unimportant.

    You could just pull up their realtime charts and watch them for awhile to see the correlation.

    I've been watching them for many years so I see the correlation every trading day any whether its 90% or 99% correlation is umimportant to me because its high.

    (a.k.a. NihabaAshi) Japanese Candlestick term
  3. good comments.

    the russell has been (to put it mildly) leading the S&P altho the S&P and DOW set 52 wks hi's yesterday btw.

    the russell has been smacking over and over ALL TIME HIGH's (higher than even in the 90's bull market)

    what this says is that while there is (obviously) a correlation, the russel has been leading (ditto the transports) and the S&P and Dow lagging.

    i find playing spreads between the various indexes to be a low risk way to make some income, btw.

    something to keep in mind.

    exploit the divergences. prices TEND to regress to a mean.
  4. really. low risk is it?

    So when the russel first diverged from the S&p you short the russel right?

    low risk you say?
  5. Nonsense.
  6. spread trades on indexes ARE low risk.

    the reason is that in an extreme move, you are hedged (since you are short one futures contract, and long another )

    it doesn't mean they are always winners, or that they are riskless.

    but they have less RISK than outright position trading.

    if i am long YM and short NQ (or the opposite), and the indexes drop 10% in a heartbeat, then...
  7. Two separate animals..............:)

    be careful of what information you get from some of these biased birds. Be safe, and be careful out there.............:D
  8. You and I are probably looking at something different or you assummed I'm talking about something else that's nonsense to you.

    Check out the attached 60min charts.

    Tell me which one is S&P 500 Index (SPX.X) and which one is the Russell 1000 Index (RUI.X) ???

    Then tell me there's no correlation :p

    Once again, they are highly correlated and whether its 91%, 92% or 99% is mute to me unless someone is a spread better and only wants correlated indices at a specific % level and higher.

    (a.k.a. NihabaAshi) Japanese Candlestick term
  9. There's always a correlation between the indexes, with occasional short term exceptions.

    But it's not something that is easily used to benefit your trading. Moves are simultaneous enough so that you can't just buy NQ becasue ES upticks.

    You'll get chopped to death doing that.

    And ER2 really does its own thing many days.

    PS After looking at those charts Ashi posted, the ER2 is actually closer than it appears in realtime.
  10. i use the ES as a heads up for the YM

    i find that it leads SLIGHTLY the YM

    thus, an entry that might be good, or a little late on ES is about right on YM, if i am watching both.

    i watch both the YM and ES tape "religiously" and i see that in the tape too.

    it is also sometime interesting to play off divergences.

    for example, YM makes a new low, but ES doesn't.

    divergences also make for nice spread trades. for example NQ was WAY WAY stinkier than YM today. sell YM @ close, buy NQ @ close as a spread example

    of course triple witching wacks out all the indexes. i find it a very difficult day to trade index futures, and usually don't trade that day
    #10     Mar 17, 2006