in a previous question you were looking at using the VWAP price of SPY as a possible technical indicator or input variable in your investment decision process.
The difficulty that you are going to encounter is that SPY and the S&P 500 future (right now ESU9) are interchangeable. Here is a chart from Bloomberg showing SPY vs ESU9 from Bloomberg.
Now you can see that they trade in lock-step. There is a constant difference between the two of them - that's called the basis. The basis exists because of some technical factors that you can read about in a thousand other places.
Now there is a little friction when exchanging between futures and SPY's, but it's pretty simple overall.
This past Friday, for example, \$233b worth of ESU9 futures traded. Only \$18b of SPY traded in the same period. To make it even a little more complicated, SPY ETFs will trade some volume in the auction. Often the auction is just a few equity financing people exchanging shares with each-other. That really means little to anyone.
So I guess the point that futures dwarf SPY moves from a volume perspective.
You can have a whole other discussion about the importance of the underlying stocks, but that's for another time.
Special Relationship and the added dimension to VWAP.
As we know the expiry’s final settlement price is the last 30 minutes-weighted average price of the spot market. Due to this, many investors/traders get confused with the prices and some option prices may look like an arbitrage or free money (options quoting below intrinsic value).
This may not be correct as the spot prices are moving independent and not according to the VWAP whereas using futures prices are quoting at the calculated VWAP and it’s taken care by the arbitragers if any deviation occurs market arbitragers would jump in and be sure they will jump in before you could do. So, if futures are referenced in the last 30 minutes of expiry, these circumstances and confusions can be avoided. Hope this helps.