ES to SPX Conversion: Basis, Fair Value and Expiry
3 min read · Updated
ES futures and the SPX index track the same S&P 500, but ES almost never prints the same number as SPX. The difference is the basis.
To move a level from one to the other, you add or subtract the basis. This guide shows how I work it out and where it changes.
The short version
- ES = SPX + basis.
- SPX = ES − basis.
- Get today's basis by taking the ES price minus the SPX price at the same moment, during US cash hours.
ES to SPX converter
The ES to SPY converter now has an SPX box too. Type today's ES and SPY prices into the ratio boxes, then type a level into any box and it fills in the other two.
Where the basis comes from
Buying ES ties up only margin, so the futures price carries interest on the full value of the stocks. You also give up the dividends the stocks would pay. The fair value of the basis is roughly:
basis ≈ SPX × (interest rate − dividend yield) × days to expiry ÷ 360
A worked example: SPX at 6400, a 4.3% rate, a 1.3% dividend yield and 60 days to expiry gives 6400 × 0.03 × 60 ÷ 360 = 32 points. ES would trade near 6432.
When rates are above the dividend yield, as they are now, ES trades above SPX. If the dividend yield were higher than rates, ES would trade below SPX.
The basis shrinks to zero at expiry
ES expires every quarter, on the third Friday of March, June, September and December. Its final price is the Special Opening Quotation of SPX that Friday morning. So the basis falls a little every day, and on expiry morning ES and SPX meet.
About a week before expiry, volume rolls to the next contract. On roll day, the front month ES jumps by the whole new basis, often 40 to 60 points. A level converted with last week's basis is now off by that much. I recheck the basis the morning after each roll.
Outside cash hours
SPX only calculates from 9:30 AM to 4:00 PM ET. ES trades nearly 24 hours. Overnight, the SPX quote you see is stuck at the last close, so ES minus SPX at 2 AM gives you a wrong basis. Take the basis during cash hours and carry it into the overnight session.
Converting size
- ES: $50 per index point.
- MES: $5 per index point.
- SPX options: $100 multiplier.
- SPY: about one tenth of SPX, so 100 shares move about $10 per SPX point.
One ES contract is about the same exposure as 500 SPY shares, or half of one SPX option contract's notional.
Using the levels
My Trade Plans post ES and SPY levels side by side each session. For SPX, take the SPY level times 10, or the ES level minus today's basis. Both land inside a point or two of each other.
FAQ
How do I convert ES to SPX?
Subtract the basis. Work it out as ES minus SPX at the same moment during cash hours, then subtract that number from any ES level.
Why is ES higher than SPX?
The futures price carries interest on the full value of the index, minus the dividends. With rates above the dividend yield, ES trades above SPX until expiry.
When does ES equal SPX?
At expiry. ES settles to the SPX opening quotation on the third Friday of the contract month.
How many points is the ES to SPX basis?
It changes with rates, dividends and days left. Right after a roll it is often 40 to 60 points, and it falls toward zero into expiry.
Sources
- CME Group, E-mini S&P 500 contract specs
- Cboe, SPX options product specs
Educational content only. Not investment advice.