I'm doing backtesting, and I'm trying to figure out if during normal trading hours (9:30-4 EST) the SPX and ES (nearest term expiration) every vary dramatically. Like during normal trading hours would the ES and SPX ever differ by $20 or $50 or something big like that?

I've been trading the ES since the beginning of the year, and it seems to track closely during normal trading hours. But I bought some historical data for ES and SPX and that data shows that in some cases the ES and SPX varied dramatically in the middle of normal trading hours (like June 23, 2016 it shows an $80 variance). I'm not sure if the data is bad, or if there really are times that the SPX and ES would diverge that much during normal trading hours.

Thanks for any input!

Hi, it seems there is no difference (I've added a comparison chart, the $SPX is the line-chart, based on closing-price and the time is set to 9:30am - 4:00pm EST and you can see 6-23-2016 and 6-24-2016, there was a huge gap). If you compare the data, you have to use "NOT backadjusted data" otherwise it isn't correct.

Thanks! That helps. I think the data I have is bad. I was told it was continuous using earliest expiration. But the data I have doesn't match what you have. And the data you have ties to the SPX, which makes sense.

May I ask where you got your ES data?

Hi, I use TradeNavigator and their data.

I don't know which data you have, but I wouldn't say that your data is bad, I'm sure you are using back-adjusted data and of course back-adjusted data never can match an index.

that you can see the difference in price, I'll post the chart with $SPX in an extra pane (1 back-adjusted, 1 NOT back-adjusted)

back-adjusted:


NOT back-adjusted:

Probably not - there are enough HFT algorithms out there that would be executing arbitrage on it. So selling the one and buying the other if there's any tiny difference and then close out their position when they get equal again.

Thanks tr8er! That helped me a lot.

And thanks everyone else for the input. Greatly appreciated.

Depends on the expiry date of the ES.

But front month - pretty much pinned to the ES - but the site Program Trading, Fair Value, Index Arbitrage Values - indexArb.com might have some interesting snippets for you, if you want to investigate.