Trading ES & SPY

Discussion in 'Index Futures' started by LCFXTRADER, Jun 29, 2009.

  1. Has anyone noticed that ES & SPY are sometimes off by a few points? Has anyone successfully traded this back to the mean?

    Example today looking at Yahoo finance:

    ES: 922.13
    SPY: 91.68

    Can someone please post an example of the correct position size to take for each?
  2. 500 spyders for 1 ES.
  3. SPY has a dividend component to it that increases the price as it accrues. Also Futures premium changes over time.
  4. It is never that simple. There are reasons that similar instruments diverge, so you need to do your homework. But if there is a market inefficiency, usually the large investment houses have hammered it out in seconds (that is called ARBitrage
  5. What's the edge? Short-term interest rate?