I am looking at several indices, DJX, DXL, MNX, RUT, SPX, OEX/XEO, and am trying to stick to just one. SPY has bad fills in my experience because it is traded on only one exchange. Which index has the best trade off among liquidity/option open interest, slippage, speed of execution, etc.? On a second thought, all these indices are highly correlated and all would suffer similarly in a market crash. What other indices offer non-correlated moves? I think diversification into these indices may be beneficial. (Remember LTCM.) Thank you immensely for sharing your thoughts.