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I use daily SPY volume in all of my S&P cash and futures studies and have found
OBV studies run on SPY volume to track quite well. This is particularly useful
with the futures because 1) the reporting of daily futures volume is delayed and
2) the futures volume is heavily distorted by rollover. I think it's easy for
those of use who trade S&P futures to consider futures as leading the market,
when in reality, it is the futures which trade around the cash market. I
consider the SPY to be an excellent measure of activity in the cash market
because the activity is real, rather than theoretical as in the S&P cash index.
Because the SPY can not be heavily leveraged, it attracts a more conservative
trader/investor than either futures or options.
It would be interesting to learn what portion of SPY volume is institutional
rather than private.
Earl
-----Original Message-----
From: Gary Funck <gary@xxxxxxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Thursday, April 23, 1998 7:31 PM
Subject: Re: Question for SPY traders
>Sometimes, if I want to run a study on
>"the S&P", or OEX, I'll use SPY instead. I think in some way's the SPY
>is superior to using a continuous (back-adjusted) S&P contract, because
>it has a real market, and traded at the prices shown.
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