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I've noticed on numerous occassions that this opportunity is efficiently
arb'd away in the spooz. I haven't checked to see if the SPY traders arb
against $SPX or the futures until everything on the NYSE is open.
Kent
-----Original Message-----
From: Stefan Schulz <prog1@xxxxxxxxxxxxxx>
To: realtraders@xxxxxxxxxxx <realtraders@xxxxxxxxxxx>
Date: Friday, December 08, 2000 9:42 AM
Subject: [RT] E-mini Nasdaq just now
Hi,
The March E-mini Nasdaq went from 2817 just before the start of pit trading
to 2902 within a couple of ticks. ECNs and others should offer some price
discovery for Nasdaq stocks outside pit hours, therefore effective
arbitrage between future and cash ought to be possible - but clearly that
didn't happen today.
Any ideas why ?
Regards,
Stefan Schulz
Suaviter Limited
prog1@xxxxxxxxxxxxxx
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