It's actually part of the CFA curriculum (Level III, I believe).
You can listen to this guy talk about running the index arb business for UBS for eight years and then as an independent running his own execution desk. His clients include locals from the S&P options pit and other institutional folks.
It's informative to know how the futures are priced, but you can just research the spreads using the premiums data. Index basis/index arb/cash&carry is the same idea as any other futures pricing. The carrying costs and financing rates are built into the price just like in the hydrocarbons/softs/metals futures markets (eg. "convenience yield"). Liquidity is provided in both directions and you have the major players hedging inventory, carrying/delivery obligations, as well as facilitating execution/market making, etc.
You have to know that one side of the trade is local to the NY/NJ data center, and the other is in Aurora, IL. Unreal amounts of money are involved in it at all times and inside every millisecond of RTH.
This is a pricing model (lifted from quantstackexchange.com by yours truly.)
You don't have to know what this means, but you should understand how important the actual basis spreads are. You can price the spreads with your regular ticker data available from any good broker
ES - SPX
NQ - NDX
YM - 100*DJX
RTY - RUT
but knowing how they can be useful to inform trades takes a lot of work. You can also look at the cash side of the trade using market internals like TIKI.
