SPDR S&P 500 ETF(SPY) Pair Trading

Reference data
Symbol Price Change Date Time Remark
^GSPC 2442.07 0.15% 2017-06-26 13:24 S&P 500 Index
SPY 243.71 0.24% 2017-06-26 13:09 Yahoo Data (possible 15 min delay)
SPY 243.57 0.18% 2017-06-26 13:24 SPDR S&P 500 ETF
^SPY-IV 243.7 0.21% 2017-06-26 13:09 Net Value
SH 33.26 -0.18% 2017-06-26 13:22 ProShares Short S&P 500
SDS 12.5 -0.32% 2017-06-26 13:23 UltraShort S&P500 ProShares

Days of ^GSPC trading range covered the SMA in past 100 trading days starting from 2017-06-23. SPY current trading price 243.57 comparing with Est. History
SMA Est Premium Days SPY Est SPY Premium
5 Days 2436.36 0.08% 32 242.99 0.23%
10 Days 2438.09 0.01% 23 243.17 0.16%
20 Days 2433.17 0.21% 16 242.68 0.37%
Boll Up 2453.59 -0.62% 8 244.71 -0.47%
Boll Down 2412.74 1.06% 6 240.64 1.22%
5 Weeks 2435.57 0.11% N/A 242.92 0.27%
10 Weeks 2412.69 1.06% N/A 240.63 1.22%
20 Weeks 2384.56 2.25% N/A 237.83 2.41%
5 Months 2380.59 2.42% N/A 237.43 2.58%
10 Months 2281.48 6.87% N/A 227.55 7.04%
20 Months 2168.18 12.46% N/A 216.25 12.63%

Days of ^GSPC trading range covered the SMA in past 100 trading days starting from 2017-06-23. SH current trading price 33.26 comparing with Est. History
SMA Est Premium Days SH Est SH Premium
5 Days 2436.36 0.08% 32 33.34 -0.24%
10 Days 2438.09 0.01% 23 33.31 -0.16%
20 Days 2433.17 0.21% 16 33.38 -0.37%
Boll Up 2453.59 -0.62% 8 33.1 0.47%
Boll Down 2412.74 1.06% 6 33.66 -1.19%
5 Weeks 2435.57 0.11% N/A 33.35 -0.27%
10 Weeks 2412.69 1.06% N/A 33.66 -1.19%
20 Weeks 2384.56 2.25% N/A 34.05 -2.31%
5 Months 2380.59 2.42% N/A 34.1 -2.47%
10 Months 2281.48 6.87% N/A 35.46 -6.19%
20 Months 2168.18 12.46% N/A 37 -10.12%

Days of ^GSPC trading range covered the SMA in past 100 trading days starting from 2017-06-23. SDS current trading price 12.5 comparing with Est. History
SMA Est Premium Days SDS Est SDS Premium
5 Days 2436.36 0.08% 32 12.55 -0.43%
10 Days 2438.09 0.01% 23 12.54 -0.29%
20 Days 2433.17 0.21% 16 12.59 -0.69%
Boll Up 2453.59 -0.62% 8 12.38 1%
Boll Down 2412.74 1.06% 6 12.8 -2.32%
5 Weeks 2435.57 0.11% N/A 12.56 -0.49%
10 Weeks 2412.69 1.06% N/A 12.8 -2.32%
20 Weeks 2384.56 2.25% N/A 13.09 -4.48%
5 Months 2380.59 2.42% N/A 13.13 -4.78%
10 Months 2281.48 6.87% N/A 14.15 -11.64%
20 Months 2168.18 12.46% N/A 15.31 -18.37%

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