people have tried to arb es vs spy for years, if there is an opportunity, it only exists for a micro second, and somebody bigger and faster than you has already pounced on it. There are some very good arb opportunities in forex. Not against futures and spot, but between the various currencies. You just have to think very big and be solvent enough to trade very slow. That's all I do is trade one against the other. I'm always spread. But it's not for the quick buck weak hearted.