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Relating SPY Price Changes to E-mini S&P 500 Futures

Article Quant Q&A · Author: James Swinburn
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Summary

The document gives an approximate way to relate SPY price movements to E-mini S&P 500 futures exposure. It states that the cash index level is about ten times the SPY price, while each futures contract gains or loses a fixed dollar amount for each index point moved. A worked example applies that relationship to compare the result from holding futures contracts with the gain on a specified number of SPY shares.

The comparison is an exposure conversion, not a complete guide to transferring an intraday strategy between the products. Futures prices can differ from the cash index because of basis, and the example assumes a particular basis. The document does not discuss other implementation considerations, such as trading costs, liquidity, margin, session differences, or changes in basis. Traders should therefore treat the arithmetic as an approximate sizing reference rather than evidence that signals or performance will carry over unchanged.

Key ideas

  • The cash index is approximately ten times the SPY price.
  • An E-mini contract's dollar exposure depends on its stated value per index point.
  • The example equates futures exposure with the gain on a specified SPY share position.
  • The futures basis can make futures prices differ from the cash index level.
  • The conversion arithmetic does not establish that an SPY strategy will behave the same on futures.

Tags

EquitiesFuturesUS marketsPosition sizing
Full text
# Conversion of SPY prices to ES prices


# Conversion of SPY prices to ES prices












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?

## Answer by Alex C (score 2)

https://quant.stackexchange.com/a/18627

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).

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.