I suppose to expect the third digit of a derivative's price to
be precise is asking just too much.
I cannot get SPY quotes, but DO get the index in real time via
MSN.com. (It's just my crummy circumstance at work.)
Today the close of the index was 1312.83 at 4:00. Yet the SPY
closed at 131.73.
One would like to believe that based in an index close of
1312.83, the SPY would be at 131.28. But NO!
A difference of 4 & 1/2 index points (1312.83 versus the
implied 1317.3x) is about 1/3 of one percent. And that is still
pretty good. Not the derivative's fault.
That's OK. I can sell at the open (hopefully) without a great
loss.
A modest price for another lesson. [sigh] Best regards,
Cubby
I find that while SPY does not coorelate real close with 1/10 of
SPX, the % change from yesterday's close is usually much closer,
usually within a few hundredths of a %. So I made a little
spreadsheet calculator where
the inputs
are:
1. yesterday's SPX close
2. yesterday's SPY close and
3. Matt' SPY signal target.
The outputs
are:
1. the % change from yesterday's SPY close to Matt's SPY target
and
2. the SPX that gives the equivalent % change
The only resaon I use an SPX equivalent approximate target is
that sometimes I am away from my computer for an extended period (I
am retired and usually home all day - up until market close),
reading a book or doing something downstairs where there is no
computer and I just put the TV on CNBC (muted
of course) and every once in awhile I glance at the screen which
shows me where SPX is and I have an idea if we are getting close to
a target or if I should stop what I am doing and get back to my
computer charts.
Although SPY is correlated to S&P 500, one should never look
at the actual S&P500 number and assume SPY. If you look into
the history, the deviation between these two fluctuates, not to
mention SPY has dividends and etc. The liquidity of SPY ensures
that it tracks the MOVEMENT of S&P500 quite accurately, but if
the system was designed based on SPY, then don't look at
S&P500.
All being said, good luck on the exit tomorrow.
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SPY correlation to S&P 500
Posted by cubby on 2nd of Jun 2011 at 08:01 pm
I suppose to expect the third digit of a derivative's price to be precise is asking just too much.
I cannot get SPY quotes, but DO get the index in real time via MSN.com. (It's just my crummy circumstance at work.)
Today the close of the index was 1312.83 at 4:00. Yet the SPY closed at 131.73.
One would like to believe that based in an index close of 1312.83, the SPY would be at 131.28. But NO!
A difference of 4 & 1/2 index points (1312.83 versus the implied 1317.3x) is about 1/3 of one percent. And that is still pretty good. Not the derivative's fault.
That's OK. I can sell at the open (hopefully) without a great loss.
A modest price for another lesson. [sigh] Best regards, Cubby
I find that while SPY
Posted by dougmil on 2nd of Jun 2011 at 11:47 pm
I find that while SPY does not coorelate real close with 1/10 of SPX, the % change from yesterday's close is usually much closer, usually within a few hundredths of a %. So I made a little spreadsheet calculator where
the inputs are:
1. yesterday's SPX close
2. yesterday's SPY close and
3. Matt' SPY signal target.
The outputs are:
1. the % change from yesterday's SPY close to Matt's SPY target and
2. the SPX that gives the equivalent % change
The only resaon I use an SPX equivalent approximate target is that sometimes I am away from my computer for an extended period (I am retired and usually home all day - up until market close), reading a book or doing something downstairs where there is no computer and I just put the TV on CNBC (muted of course ) and every once in awhile I glance at the screen which shows me where SPX is and I have an idea if we are getting close to a target or if I should stop what I am doing and get back to my computer charts.
Although SPY is correlated to
Posted by shinings on 2nd of Jun 2011 at 09:13 pm
Although SPY is correlated to S&P 500, one should never look at the actual S&P500 number and assume SPY. If you look into the history, the deviation between these two fluctuates, not to mention SPY has dividends and etc. The liquidity of SPY ensures that it tracks the MOVEMENT of S&P500 quite accurately, but if the system was designed based on SPY, then don't look at S&P500.
All being said, good luck on the exit tomorrow.