In my experience, one MES contract is roughly equivalent to one
SPY option. MES trades 23 hours per day. and can be used to hedge
SPY options, or vice versa, a position in MES can be hedged with
SPY options in heavily trending markets. 1 MES is one tenth of a
one ES contract.
thx for the info, though you leave out one very important piece
of info which is what type of SPY option. There's a big difference
in price between a SPY option with a 0.9 delta and one with a 0.5
delta and of course price movement, and the amount of time
you go out, 1 or 2 months. However the most important part is the
delta really. If you can reply back approximately which SPY
options you are referring to that have about a 1:1 correlation with
an MES contract (delta especially).
Options with 0.9 delta. One difference though is that options
require a constant margin while MES contracts eat the margin slowly
but relentlessly. However, for hedging overnight between market
closes that is not a problem. If there is a trade at 4pm but it
disappears by 5pm, selling one MES till the next morning as a hedge
will do.
Then there is a slight difference between MES and MNQ: MNQ moves
more than MES nowadays. One could combine a SPY option with one MNQ
contract for a fine hedge.
Sorry, I got it backwards. It is SPY options with 0.5 delta
which you use for your 1st entries. Options on SPY with 0.9 delta
behave like MNQ. Both MNQ and MES are worth about $15,000 of the
underlying index.
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In my experience, one MES
Quick video on the exhuastion statistics
Posted by junkie on 20th of Jan 2020 at 08:39 pm
In my experience, one MES contract is roughly equivalent to one SPY option. MES trades 23 hours per day. and can be used to hedge SPY options, or vice versa, a position in MES can be hedged with SPY options in heavily trending markets. 1 MES is one tenth of a one ES contract.
thx for the info, though
Posted by matt on 20th of Jan 2020 at 09:28 pm
thx for the info, though you leave out one very important piece of info which is what type of SPY option. There's a big difference in price between a SPY option with a 0.9 delta and one with a 0.5 delta and of course price movement, and the amount of time you go out, 1 or 2 months. However the most important part is the delta really. If you can reply back approximately which SPY options you are referring to that have about a 1:1 correlation with an MES contract (delta especially).
thanks
Options with 0.9 delta. One
Posted by junkie on 21st of Jan 2020 at 12:22 am
Options with 0.9 delta. One difference though is that options require a constant margin while MES contracts eat the margin slowly but relentlessly. However, for hedging overnight between market closes that is not a problem. If there is a trade at 4pm but it disappears by 5pm, selling one MES till the next morning as a hedge will do.
Then there is a slight difference between MES and MNQ: MNQ moves more than MES nowadays. One could combine a SPY option with one MNQ contract for a fine hedge.
Sorry, I got it backwards.
Posted by junkie on 21st of Jan 2020 at 12:47 am
Sorry, I got it backwards. It is SPY options with 0.5 delta which you use for your 1st entries. Options on SPY with 0.9 delta behave like MNQ. Both MNQ and MES are worth about $15,000 of the underlying index.