A bulge-bracket firm said they would make a market for their clearing customers (which I was not) but the price was no better than what I could get in the market. The pricing formula was a bit complicated...I don't recall exactly. It wasn't really what I was looking for as the formula didn't give a standard 500:1 ratio. Rather it was something like 498:1 and they preferred a 1MM share minimum. Basically I was looking for an OTC market to lean on when arb-ing ES to SPY much like can (could?) be done with some inter-exchange energy arbs. Keep in mind this was in the days before the spreadnetworks line. Another way to get out of a large SPY/ES would have been to do a combo on the SPX options but again the price was no better and my firm wouldn't allow it.
