Has anyone noticed that ES & SPY are sometimes off by a few points? Has anyone successfully traded this back to the mean? Example today looking at Yahoo finance: ES: 922.13 SPY: 91.68 Can someone please post an example of the correct position size to take for each?
SPY has a dividend component to it that increases the price as it accrues. Also Futures premium changes over time.
It is never that simple. There are reasons that similar instruments diverge, so you need to do your homework. But if there is a market inefficiency, usually the large investment houses have hammered it out in seconds (that is called ARBitrage http://en.wikipedia.org/wiki/Arbitrage)