The two securities from 3:00am to 3:00pm.
The SPY/ES spread from 3:00am to 3:00pm.
The SPY/ES spread from 8:30am to 3:00pm.
The outright prices and the corresponding spread from 8:30am - 9:30am.
Still working on the Ultra ETFs.
Showing posts with label e-mini snp 500. Show all posts
Showing posts with label e-mini snp 500. Show all posts
Monday, September 12, 2011
ETF / Futures Arbitrage: SPY & E-Mini S&P 500
A continuation in the series, this is the spread between SPY and the CME-listed E-Mini S&P 500 futures contract (ES). The September 2011 ES contract is used on account of liquidity and the spread [pdf]. Prices were recorded August 26, 2011. All times are CST.
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