looks like the SPY always leads the ES by 1 day on your charts? i wish it were that easy but sadly i guess you have a setting wrong in your charts... i would echo prior posters. arbing the ES and SPY (or other similar combos) is possible but requires top-drawer execution speed and ultra-low comms. this is the true realm of high-freq trading
MRE - When you say "very costly" - how bad is it to borrow the SPY for a short nowadays? How does it compare to, for example, this time last year (i.e., ... "pre-crisis" ... ?)
What this means is that you can't post one primitive chart, and hope to beat the pros just like that. You need to think through the relationships, the spread value, various combos and all that, and especially overnight risk, as someone correctly pointed out here, before moving any further. Otherwise you're just a monkey throwing darts. I retail trader must have the ammo to beat the pros at the arbitrage game
What... SPY is certainly not hard to borrow... it trades on average 260 million every day lol! What platform/broker are you guys using? Lastly, don't try to beat the arbs... they make the prices move instantaneously. I don't know who is saying that there is a day delay. Also ignore the mini and look at the actual pit traded contract. Cash rotates between being leader and laggard. You are better off scalping that spread like the index arbs do. Instead of the spyders you can also look at the DIA, although there is slightly less correlation (and volume).
DIA vs. ES spread has a little more trendines, its nice if you don't mind waiting for it to converge.
I pair etf's with similar counterparts like s&p 500 growth index and Russell 1k growth and others. I have not venture into etf : futures arb. I thought that the ranges would be to tight. Its good some non algo traders making it work. I will have to take a look.
I agree looks like a wrong chart setting. I have traded stocks etfs and futures for 10 years and I can tell you this with certainty, trying to capture the difference between spy and es is a losing game. GS, Credit Suisse and the like have millions of dollars invested in colocation to all exchanges to arb these ineficiencies which exist in milliseconds not days like on the op's chart.