macrocephalopod

I didn’t follow the whole thing but I think it’s pretty clear that if you’re making markets in SPY options, you would hedge your delta with ES futs outside market hours.

has to depend on liquidity though... you wouldn’t hedge if the market were 1% wide right?

I literally can’t think of a market that is more liquid than EA futures.

This isn’t a joke. The candidates are... EURUSD spot? TY futures? We are talking about the 3-4 most liquid markets in the world, even outside normal US market hours.

do you think that SPX futures measured at 3am have lower, the same, or higher volatility than spy measured close to close?

It’s not obviously higher! There are massive distortions around the close (and futures settlement) from market-on-close orders.

anecdotally seems higher, but I haven’t done the analysis. my whole point is that it depends on liquidity for two reasons. 1. Could be hard to execute without slippage if liquidity is poor. 2. the trading signal is unreliable if there is noisy relationship between futs and spy