Does anyone have any solid knowledge on the way that the mini futures contracts relate to the actual ETFs in the main day trading sessions? I mean, do they move in tandom. like exact mirrors? Is there a lot of arbitrage at divergence points? As an example, could you trade CBOT dow minis using a DIA or even INDU chart? Any thoughts on the actual trading day relationship would be much appreciated especially from traders with experience in the area.
Take a look for yourself: If you bought at the low, sold at the high, could move 500 shares of SPY without partial fills, and got lucky, you might make $20 a pop. In reality though, the odds of this are pretty low. That being said, there was just a long thread on the "premium" symbol that most trading systems have which shows you the amount the futures are trading over the cash. This will vary quite a bit during the day. Here's what it looks like today: So, the answer to your question is probably "no". If you traded the futures contract using the cash index, the difference between it and the futures contract could be a full point (and I've seen more).