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I have a system that I use intraday that works great on SPY. Due to the extra leverage available plus other benefits I am thinking about trading the system using ES.

Is there a conversion factor that can be used to convert SPY prices to ES prices? What other factors would I have to take account for before using a system that works well on SPY on the ES?

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  • $\begingroup$ Would you mind defining SPY and ES? It might be pretty clear but should be included for clarity. $\endgroup$
    – Richi Wa
    Jul 2, 2015 at 6:58
  • $\begingroup$ it's not that simple $\endgroup$
    – pyCthon
    Jul 2, 2015 at 7:00
  • $\begingroup$ For clarity: eMini S&P 500 futures (ES), SPY ETF taken from here zerohedge.com/article/spy-vs-es-who%E2%80%99s-leading-sp-500 $\endgroup$
    – Richi Wa
    Jul 2, 2015 at 7:17

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The (cash) index level is approximately 10 times the SPY price. Furthermore, for each ES contract you own you make or lose 50 USD for each 1 point change in the index future. (So for example SPY goes from 200 to 201, so SPX index goes from from 2000 to 2010, ES future goes from 1994 to 2004 (assuming a 6 point basis), if you are long 2 ES contracts you make 2*50*10 = 1000 USD. This is the same gain as if you owned 1000 shares of SPY).

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    $\begingroup$ However, if you own SPY you collect dividends once a quarter. If you are long the futures you don't. $\endgroup$
    – nbbo2
    Nov 4, 2015 at 18:42
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    $\begingroup$ Here's the shorthand I use: $2 ES Fut Move ≈ $1 x 1000 SPY ETF Move ≈ 1 SPX Options Δ Move $\endgroup$
    – Eric Kigathi
    Aug 17, 2022 at 12:32

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