I trade ES and have never really looked at SPY data in detail - but it seems that transaction costs while trading SPY will be much lower than trading ES - especially the bid-ask spread. B/a spread is 0.25 for ES, whereas for SPY it is 1 cent, therefore, if you multiply SPY price by 10 to make it roughly equivalent to ES price, then it means that SPY bid-ask is 10 cents = 0.1. So, bid-ask spread wise, trading SPY is much more advantageous than trading ES. I reckon that ES and SPY would trade identically - for otherwise there would be arbitrage - and this is a crucial condition that needs to meet. Since I have not really looked at the data, I could be completely off here, but I am curious to hear others opinion on this topic. Thanks.