SPDR S&P 500 ETF(SPY) Pair Trading

Reference data
Symbol Price Change Date Time Remark
^GSPC 2398.42 0.18% 2017-05-23 16:38 S&P 500 Index
SPY 240.05 0.22% 2017-05-23 20:00 Yahoo Data (possible 15 min delay)
SPY 240.05 0.22% 2017-05-23 16:00 SPDR S&P 500 ETF
SPY 239.97 0.19% 2017-05-23 20:00 Post-Market Trading
^SPY-IV 239.98 0.18% 2017-05-23 16:29 Net Value
SH 33.9 -0.18% 2017-05-23 16:00 ProShares Short S&P 500
SH 33.9 -0.18% 2017-05-23 20:00 Post-Market Trading
SDS 12.98 -0.38% 2017-05-23 16:00 UltraShort S&P500 ProShares
SDS 12.99 -0.31% 2017-05-23 20:00 Post-Market Trading

Days of ^GSPC trading range covered the SMA in past 100 trading days starting from 2017-05-23. SPY current trading price 240.05 comparing with Est. History
SMA Est Premium Days SPY Est SPY Premium
5 Days 2384.97 0.56% 39 238.62 0.6%
10 Days 2387.25 0.47% 33 238.85 0.5%
20 Days 2390.03 0.35% 27 239.13 0.39%
Boll Up 2416.39 -0.74% 11 241.77 -0.71%
Boll Down 2363.67 1.47% 6 236.49 1.51%
5 Weeks 2389.03 0.39% N/A 239.03 0.43%
10 Weeks 2366.22 1.36% N/A 236.75 1.4%
20 Weeks 2347.51 2.17% N/A 234.87 2.2%
5 Months 2347.36 2.18% N/A 234.86 2.21%
10 Months 2254.72 6.37% N/A 225.59 6.41%
20 Months 2150.69 11.52% N/A 215.18 11.56%

Days of ^GSPC trading range covered the SMA in past 100 trading days starting from 2017-05-23. SH current trading price 33.9 comparing with Est. History
SMA Est Premium Days SH Est SH Premium
5 Days 2384.97 0.56% 39 34.09 -0.55%
10 Days 2387.25 0.47% 33 34.06 -0.46%
20 Days 2390.03 0.35% 27 34.02 -0.34%
Boll Up 2416.39 -0.74% 11 33.64 0.77%
Boll Down 2363.67 1.47% 6 34.39 -1.42%
5 Weeks 2389.03 0.39% N/A 34.03 -0.38%
10 Weeks 2366.22 1.36% N/A 34.35 -1.32%
20 Weeks 2347.51 2.17% N/A 34.62 -2.08%
5 Months 2347.36 2.18% N/A 34.62 -2.08%
10 Months 2254.72 6.37% N/A 35.94 -5.66%
20 Months 2150.69 11.52% N/A 37.41 -9.38%

Days of ^GSPC trading range covered the SMA in past 100 trading days starting from 2017-05-23. SDS current trading price 12.98 comparing with Est. History
SMA Est Premium Days SDS Est SDS Premium
5 Days 2384.97 0.56% 39 13.13 -1.13%
10 Days 2387.25 0.47% 33 13.1 -0.94%
20 Days 2390.03 0.35% 27 13.07 -0.71%
Boll Up 2416.39 -0.74% 11 12.79 1.52%
Boll Down 2363.67 1.47% 6 13.36 -2.84%
5 Weeks 2389.03 0.39% N/A 13.08 -0.79%
10 Weeks 2366.22 1.36% N/A 13.33 -2.64%
20 Weeks 2347.51 2.17% N/A 13.54 -4.1%
5 Months 2347.36 2.18% N/A 13.54 -4.12%
10 Months 2254.72 6.37% N/A 14.55 -10.76%
20 Months 2150.69 11.52% N/A 15.68 -17.21%

Discussions and Suggestions

Development Record

Related software:
S&P 500 - ES UVXY SH513500 SZ161125
NASDAQ-100 - SH513100 SZ159941
A Shares - SZ150022 SZ150152
H-Shares - SZ150175 SH510900 SZ160717
Hang Seng Index - SZ150169 SH513660 SZ159920
ADR Tools Future ETF Gold ETF Graded Fund LOF Tools HK LOF Pair Trading

More options? Please login or register account. metropolitan-tundra