Without looking at the margin requirement, are there any advantages of trading one over the other? Are ES options better in terms of the slippage, and liquidity? Why you prefer one over the other?
ES margins have *dramatically* better margin treatment than SPX (particularly if you're short an option). ES is American style, SPX is not. ES needs a slightly different option pricing model (Black instead of Black-Scholes) due to the fact futures decay in value from the cost of carry. ES settles into a futures contract (on serials), SPX always settles into cash. ES does not have weekly options, SPX does. I prefer futures options to equity/index options.
In contrast to SPX options: There is no cancellation fee associated with ES options. Retail traders can submit BUY and SELL orders of the same ES options to CME at the same time (act as market maker). Trading ES options involves higher commissions. ES options have a multiplier of 50, whereas SPX options have a multiplier of 100. CBOE supports tons of combination orders such as vertical spreads, strangles, straddles, etc, for SPX options at various strike prices. CME only supports a very limited number of such orders.
I'm pretty sure this is a rule violation. http://rulebook.cme.com/Rulebook/Chapters/pdffiles/005.pdf CME Rule #534: No person shall accept from, or place for, the same beneficial owner simultaneous buy and sell orders for the same product and expiration month, and, for a put or call option, the same strike price. Violation of this rule shall be a major offense.
I ***THINK*** you cannot buy and sell the same products to pump up the volume. This is market manipulation. If the above rule is true, even market-makers cannot quote the bid-ask prices. Suppose I have bought 10 contracts of an ES option(average price 1.05), and the bid-ask price are 1.0 and 1.1, respectively, I can submit a limit order to buy 10 more contracts at a price of 0.5 and then submit another limit order to sell 10 contracts at a price of 1.5. I tried something like that few times in the past, and CME DID accept both orders. If I do the same for a SPX option, one of the above-mentioned limit orders will be rejected.
Market Makers have a different set of rules. This one isn't quite on point, but you can see how market makers have rules superseded and redefined: http://www.cme.com/files/20050808S-4308.pdf From the Globex regulatory filing: http://www.cme.com/files/regulatory.pdf "The following activities are prohibited on Globex: ... Knowingly...accepting a simultaneous buying and selling order for the same commodity and contract from the same customer" Presumably it was your broker that violated the rule then.
Can anyone post a link to margin specs on ES options? I can't find info regarding margins on the CME site.
It's not specific to options, but margin requirements are on the home page, under Quick Links: "Performance Bond Requirements". http://www.cme.com/html.wrap/wrappedpages/clearing/pbrates/PBISHomePage.htm?h=2 Options are much more complicated to compute margin for--they use SPAN. Your broker should be able to tell you the margin on practically any combo.
It's possible there's different tax treatment in the US. The other major benefit is that there's an underlying you can trade readily. You cannot buy or sell a cash index (SPX), so an option position in SPX may be more difficult to hedge. American exercise is considered a benefit by some.