trading the s&p futures vs SPY's

yes, ES reverses to the mean as time deteriorates (reverses to the cash price upon expiration)

but that's because with ES you can put the extra money you would have to put up to buy the stock - in riskless T-bills and make up the difference

iow, it's net-net neutral. the reason why futes trade at a premium to cash underlying (SPY) is due to the dividend and money-down differences.

that's the whole point. otherwise, there would be infinite arb opportunities.

the main differences between ES and SPY are...

1) ES better tax treatment (irrelevant for an IRA or tax-free account obviously
2) ES better fills (although YM is superior to ES for scalping, assuming you are not trading 100 contracts... rolls eyes) than SPY. trust me on this
3) ES 24 hr market (that is a major difference)

i trade YM for a living. I like to use DIA (the equivalent of SPY except for the dow) for position type plays, since I can play small size and scale trade it better based on my risk tolerance, account size, etc.
 
Quote from whitster:

2) ES better fills (although YM is superior to ES for scalping, assuming you are not trading 100 contracts... rolls eyes) than SPY. trust me on this
More...

can you give me an example of this?
 
an example of what?

ES better fills than SPY ?

or YM better for scalping than ES (assuming you are not some monster who needs to trade 100 lots)?
 
it's simply based on experience.

in my path to trading accomplishment (tm)

i tested my setups on DIA and SPY before even considering ES and YM. i eventually settled on YM

positive expectancy (n= several hundred) using the exact same setups on ES and YM as with SPY and DIA went up significantly.

SPY is traded on AMEX for pete's sake :)

the ECN's help. but ES (and YM) have ONE book.
 
whistler, with all due respect, the irrelevancy of the SPY being traded on AMEX could not be greater.

There was a time where you might have been able to pick off the AMEX but that has long past.
 
you are completely missing my point in re the amex.

it was the exact opposite

fwiw, i have seen crossed bid/asks on AMEX when SPY action gets fast

i have never seen that in ES

like i said, this is extensively backtested. it aint opinion. it's tested fact.

if you want to believe the fills aren't worse on SPY vs. ES then knock yer socks off
 
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