Why 0.6% discrepancy on expiration day

Discussion in 'Trading' started by bigpig41, Dec 18, 2009.

  1. Can anyone explain why there is a 0.6% difference between the SPX cash and the SPY exchange traded fund this morning??? Will it eventually be corrected?
     
  2. ping !

    48 views and no answer?

    SPY 0.6% lower from the open to close and was that much lower than the futures in the premarket?

    how does rebalancing cause this?
     
  3. blig

    blig

    correct me if im wrong but i think the SPYs are ADRs. Therefore they are subject to selling pressure from foriegn investors that the S&P is not. With the dollar tearing higher net foriegn invesmtent in likely becoming more negative
     
  4. blig

    blig

    this may be the reason for the tracking error
     
  5. SPY gained back 20 cents after the S+P futures closed at 4:15PM EST
     
  6. ryleg

    ryleg

  7. blig

    blig

    yeah i see that.. they're an etf so you cant expect them to track perfectly... maybe they turned on a buy program afterhours to get them back on track :)
     
  8. blig

    blig

  9. Your link shows a dividend Ex-Dividend date of Sept. 18, 2009 as does other sites. That dividend was payable 10/30/09 . My understanding is that stocks and ETFs will typically adjust down about the amount of the dividend around the ex-dividend date>>>doesn't explain what happened today.

    Any other explanations? just trying to understand.
     
  10. ryleg

    ryleg

    You have to follow the pattern "19-Dec-08". That was one year ago. They have not posted today's yet. SPY is very efficient and would not track off perfectly by a large fraction of a percent like it did today except if there was a dividend.
     
    #10     Dec 18, 2009