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An excellent arbitrage opportunity

I plot the difference in prices of two S&P 500 tracking ETFs, SPY and IVV.

There are predictable and pronounced spikes in the middle of every March, June, September and December.

Do you think it is just an illusion?

4 responses

Hello Yawer,

I plotted the difference as a percentage of the average price of the two ETFs. The dips are fractions of a percent--seems like it'd be hard to realize a gain (assuming that the differences are real).

Grant

Indeed Grant. Even risking a cool million on both sides the results are less than impressive.

Hi Yawer,

The spikes are caused by the timing of dividend distributions -- SPY usually goes ex-dividend before IVV.

-- Michael

I wish I could upvote your answer, Michael! Beat me to it.