SPDR S&P 500 ETF(SPY) Pair Trading

Reference data
Symbol Price Change Date Time Remark
^GSPC 2368.06 0.29% 2017-03-30 16:46 S&P 500 Index
SPY 236.29 0.32% 2017-03-30 16:10 Yahoo Data (possible 15 min delay)
SPY 236.27 0.31% 2017-03-30 16:00 SPDR S&P 500 ETF
SPY 236.35 0.34% 2017-03-30 18:29 Post-Market Trading
^SPY-IV 236.26 0.31% 2017-03-30 16:29 Net Value
SH 34.41 -0.32% 2017-03-30 16:00 ProShares Short S&P 500
SDS 13.39 -0.59% 2017-03-30 16:00 UltraShort S&P500 ProShares
SDS 13.38 -0.67% 2017-03-30 18:19 Post-Market Trading

The Premium of current trading price 236.27 comparing with ^GSPC Est of SPY Val value and the Days in past 100 trading days starting from 2017-03-30 did the estimated SMA value fitted in the trading range History
SMA ^GSPC Est Days SPY Val Premium SH Val Premium
5 Days 2357.34 32 235.19 0.46% 34.57 -0.47%
10 Days 2353.91 28 234.85 0.61% 34.62 -0.61%
20 Days 2363.85 21 235.84 0.18% 34.48 -0.19%
Boll Up 2394.22 14 238.87 -1.09% 34.03 1.11%
Boll Down 2333.49 6 232.81 1.49% 34.92 -1.46%
5 Weeks 2369.49 -1 236.4 -0.06% 34.39 0.05%
10 Weeks 2344.96 -1 233.95 0.99% 34.75 -0.99%
20 Weeks 2291.32 -1 228.6 3.35% 35.54 -3.17%
5 Months 2270.04 -1 226.48 4.32% 35.85 -4.01%
10 Months 2202 -1 219.69 7.55% 36.84 -6.6%
20 Months 2105.7 -1 210.08 12.46% 38.25 -10.04%

The Premium of current trading price 34.41 comparing with SPY Est of SH Val value and the Days in past 100 trading days starting from 2017-03-30 did the estimated SMA value fitted in the trading range History
SMA SPY Est Days SH Val Premium SDS Val Premium
5 Days 235.2 20 34.57 -0.46% 13.51 -0.88%
10 Days 234.83 17 34.62 -0.62% 13.55 -1.19%
20 Days 235.75 5 34.49 -0.23% 13.45 -0.42%
Boll Up 238.69 31 34.06 1.03% 13.11 2.14%
Boll Down 232.8 5 34.92 -1.46% 13.78 -2.85%
5 Weeks 236.23 -1 34.42 -0.02% 13.39 -0.01%
10 Weeks 233.51 -1 34.82 -1.17% 13.7 -2.28%
20 Weeks 227.8 -1 35.66 -3.49% 14.36 -6.72%
5 Months 225.67 -1 35.97 -4.33% 14.6 -8.28%
10 Months 217.93 -1 37.1 -7.25% 15.48 -13.52%
20 Months 206.67 -1 38.75 -11.2% 16.77 -20.16%

Discussions and Suggestions

Development Record

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