I've gone to the yahoo.com finance page (from the main page, click on the markets link). If you go there, you'll see that you can get a graph of the nasdaq, dow, and s&p indices (they seem to show the nasdaq and dow by default, so I mouse over s&p to see that one). What I see is some correlation between the markets; in fact the dow & s&p are highly correlated, except when they're not. I noticed that, for example, the dow may be down 1.2% and the s&p down 1.4% at some point in time. At another point in time it may be 1.3% vs. 1.25%, and at another point in time they may be both down 1.35%. I am not concerned with why there is a correlation between the dow and s&p, just concerned with how to make money when they're not perfectly correlated. So, I think that if I could sell one futures contract and buy another, say, sell the dow and buy the s&p when there is a 0.2% difference in their relative values (down or up from the previous days close), then wait until there is just a 0.1% difference in their relative values, I'd make 0.1% on the contracts (liquidating both when there is a 0.1% difference). 0.1% is about $60, given the current value of the YM and ES contracts. It seems to be a low-risk/small-gain trade. Yeah, yeah, I know, $60 isn't much. But I prefer to get rich slowly. Plus, once legged-in to this thing the perf. bond is way low, so it may be possible to do more than one at a time. What could go wrong with this strategy? I know that this "spread" might go against me, or that the "spread" might not close before the end of the day. Any comments? Mods: I will only do a "journal" about this if there is interest, so feel free to move this thread to another area.