I'm trying to choose between implementing a strategy using the ES and using SPY options. I want the option contract with the tightest spread and a delta of around .83, so I can buy 6 of them for every ES contract I would buy if I were to implement it in the ES, so that I've essentially got 500 "shares" of the SPY to make up a "synthetic" ES contract when I enter the trade. I'm leaning toward SPY options because I figure that when I am right, gamma will kick in and raise the delta over the time of the trade (average winner and loser is around .7 SPY points) and when I am wrong, the reverse will happen as the option gets more out of the money. Looking at the current SPY option series, the gamma on the call which most closely matches that profile is ~3% and the put's gamma is ~6%, so it seems like I'd be getting an extra 2% (.7 SPY point move on average X ~3% gamma) equivalent SPY shares for a long trade (like getting 10 shares' profit for free) and about 4% for a short trade. Am I missing anything big that invalidates this analysis?