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- ChrisHenderson
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Theory Price of SPY
I've been looking at the theoretical price of the SPY, adding up the weighted sum of the member prices using the SPY's creation basket and estimated cash component.I'm surprised to find that this value deviates so far from the actual price of the SPY. Many days, it seems to be very skewed to one side and trades within a narrow band of prices. It makes me think I'm missing something in my calculation...
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- traderdeluxe
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Theory Price of SPY
One easy mistake: make sure that your estimated cash is aligned correctly. Depending on the data series, it could be effective the day before or day of.
Last edited by traderdeluxe on March 8th, 2009, 11:00 pm, edited 1 time in total.
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- mellisacat
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Theory Price of SPY
The way I did it before is to estimate the SPY fair value from VIX and S&P 500 index futures. Both are vey liquid.