By how much exactly? So a swingtrader using only limit orders should still use the SP rather than the ES.....
Here's the link http://www.cme.com/clearing/clr/spec/contract_specifications_cl.html?product=SP jd - Did you find the SP contract to be liquid (say for 1 or 2 SP contracts)? thanks
Using Open Ecry - the commissions are about 4 times more expensive trading 5 ES vs 1 SP contract (assuming night session commission is based on an electronic schedule - not pit).
Problem with the Russell is that Ice just did away with the big contracts all together, only the minis.
looking at the big electronic contract (ticker ZSPZ8) - liquidity pretty much matches up the liquidity in the ES in dollar notional. It trades on top of ES contract when bid/offer at round or 1/2 increments, but slippage of 0.05 pt vs. the ES when the bid/offer is at the 0.25 or 0.75 ( which amounts to $12.5/ big contract or $2.5/small contract). So it looks like commission + slippage in big S&P contract will be about the same cost as the ES contract (though there will be times when you manage to buy and sell at even/0.5 prices and it will be cheaper vs. the ES). Haven't looked at the dow mini vs. big contract yet - but suspect that slippage will be negligible as the bid/offer in the mini is smaller.