I would guess that New York is getting underrated, because in finance, once you get a serious, adult job, you're usually called something other than software engineer. "Vice President" is the typical title for someone of my age (31) even if you're a full-time programmer with no reports. Only at Managing Director (30-35 if you're lucky or good, 40-45 more typically) are you culturally expected to start having reports. I've heard of full-time engineers getting "Portfolio Manager", even if the job has little to do with managing a portfolio.

So, I'd guess that there are a lot of high-paying full-time software jobs in New York (and Chicago) where the title is something like "Vice President, Technology" or "Quant Trader".