Support Board
Date/Time: Mon, 10 Mar 2025 10:34:13 +0000
Post From: etf/futures data
| [2022-03-17 20:57:52] |
| 1+1=10 - Posts: 270 |
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This type of arbitrage is done by professional firms everyday. The ES futures have a fair value compared to the S&P 500 index that can be calculated. The CME explains the formula here: https://www.cmegroup.com/trading/equity-index/fairvalue.html The fair value changes everyday as part of the formula is days to expiration of the front futures contract. For example, if the ES were to stray too far below its fair value, the arbitragers will buy the ES and short all the S&P 500 stocks. If ES is too high, then vice-versa. This is the exact reason why ES tracks the S&P 500 index at all. The inhabiting factor for most investors from following this strategy is they don’t have the capital to buy/sell all the shares of companies in the S&P 500, especially in the proper ratios to construct a proper market-weighted version. By the way, you can also directly download data for the S&P 500 index from SC as well. |