If what you mean by "Do you think it is possible to trade the bars ?" is to take advantage of intraday fluctuations between the pair, here's what I see: - Based on today's data the difference between the two oscilates between -0.8 and -1.4 so that is a 0.6 /ES point swings (i.e. slightly more than 2 /ES ticks) - The pattern is consistent for prior days, but the high and low are different, for example yesterday it was -0.7 to -1.45 - Considering the bid/ask spread on /ES is 1 tick I do not believe you could trade in and out profitably consistently during the day Maybe someone else sees something I don't. Anyone? I would love to know... This is today so far on a 1m graph
10x SPY vs ES(June) Those high bars you speak of, @raf_bcn, are probably because of overlapping closed for trading hrs. When SPY is closed and ES still trades. I only show regular trading hours here, but they don't match up between SPY and ES. Also, ES June from before December is probably a bit patchy... There's no real opportunity here. Only reoccurring effect I see is the quarterly dividend drop of about 1 in SPY (10 in ES points). And a decline in SPY, but that's because of costs associated with the ETF. If you try to arb that, you'll be paying short stock fees for SPY and still don't make anything....
Too bad @raf_bcn ... but still worthwhile to get into it like this. You learn a lot from thinking through strategies and different products.