No. of Recommendations: 2
No offence, but I suspect a data or calculation error. Maybe obvious, maybe subtle, possibly both : )
First thing to check: When you calculated this, was this a snapshot of bid/ask and index level and SPY price at the exactly the same moment while the market was open?
They can both be essentially perfectly hedged and arbitraged with futures contracts. Normally a quarter point bid/ask gap during the day.
Of course SPY and the index and futures are all very slightly different beasts.
Implied interest rates, margin/borrowing power tied up, determined or indeterminate time frame, tax treatment on capital gains vs dividends vs futures, whether you get extraordinary dividends and changed regular dividends, etc.
Jim
