It's often asked on ET what the pros and cons of trading index options over the ETF equivalents are. Including a past question from yours truly. http://www.elitetrader.com/vb/showthread.php?s=&threadid=73794&highlight=OEX This subject is brought up and explained pretty well in the Sept issue of T/A of S&C http://traders.com/Documentation/FEEDbk_docs/Abstracts_new/Gentile/gentile.html