What's the relative corrlation between the ES and the SPY

Discussion in 'Trading' started by amitman, Apr 10, 2008.

  1. amitman


    hi, all I'm currently trading solely the spy and I was wondering what's the correlation between the SPY and the ES. I know the SPY follows almost excatly the es but what i wanted to know is in what ratio, I mean how much a range of point in the ES worth in the SPY in therms of cents.
    my calculations show the a point in the ES worth about 10C in the spy.
    any other opnions/official information about this subject?
  2. Considering SPY is 1/10th the size of ES, I think you're on to something.

    Sorry, couldn't resist.
  3. amitman


    damn, I really am a fool.
    thanks :)
  4. balda


    Just an example:

    last 15 min swing 3:45-4:00 PM

    ES was from 1357.50 to 1362.50 total of 5x50= $250.00 per one ES

    Spy from low 135.55 to 136.05 total of $0.50 per one share

    correlation is more close to be 1/500th then 1/10th

    Sorry, couldn't resist.
  5. balda


    Your calculations are correct
  6. ganesh6


    If ES moves 10 points, SPY will move $1 .
  7. balda


    Exactly, it makes it 1/500 per share
  8. amitman


    so here's something I don't understand. I saw this theard once where a lot of people said it's nearly immposible to average 1 point per day in the ES but from my experience averaging 20C per day in the SPY is quite easy and this is 2PTS in the ES so even if will include the fact the the spread is higher in the ES and the trading is much tougher I still don't see how averaging one point in the ES is immposible...
  9. 1 Es = 500 SPY hence, .50 * 500 = $250 too.

  10. I agree try trading the futures out of hours and it is even easier. If you don't get too greedy. I've made 18.5pts over the last 8 days [didnt trade on 2 of the days]. HOpefully it'll keep running for me, be aware though that one big loss could wipe out your hard earned profits pretty quickly.

    IMHO most people try to make too much per trade.
    #10     Jul 31, 2008