ES to SPY Converter: SPY, ES and SPX Conversion
6 min read · Updated
If you read levels on one and trade the other, you need to be able to move a number between them without thinking hard about it. The relationship is simple and worth memorizing, because getting it wrong by a factor of ten is an easy mistake to make in a hurry.
The conversion, in one line
SPY trades at roughly one tenth of the S&P 500 index. ES is quoted on the index itself.
So to go from an ES level to a SPY level, divide by ten. To go the other way, multiply by ten.
- ES at 6400 corresponds to SPY around 640.
- SPY at 638.50 corresponds to ES around 6385.
- A 10 point move in ES is about a 1 point move in SPY.
That is the whole conversion. Everything below is about why it is only approximate, and when the difference is big enough to matter.
ES to SPY converter
Type a price in any box. SPX is about SPY times 10, so the gap between the ES and SPX boxes is the futures basis. For the closest match, enter today's ES and SPY quotes in the ratio boxes and the converter uses the live ratio instead of 10.
Live ratio (optional)
Ratio used: 10
Why the conversion is approximate
Three things put daylight between the two numbers:
- Dividends. SPY holds the actual shares and accrues dividends between its quarterly distributions. The futures price them out. This is the largest and most predictable part of the gap.
- Cost of carry. A futures contract is a financed position, so its price embeds an interest cost out to expiry. The further from expiry, the wider this component.
- Tracking and timing. SPY is a fund with its own small tracking difference, and outside cash hours SPY is not trading at all while ES is.
The practical effect: the ratio drifts slowly around 10.0 through each quarter, and it resets at each futures roll. Near expiry the two converge; right after a roll the gap is at its widest.
What the difference is worth
Take the current ES price and the current SPY price and divide once, at the start of your session. That gives you today's actual ratio, and it takes five seconds.
For marking support and resistance, the tenth-of-index rule is close enough that a level converted this way lands inside the noise. For anything where a few tenths of a SPY point changes your decision, calculate the live ratio and convert with that number.
The contract sizes are a different question
Converting price and converting exposure are different calculations, and this is where people actually get hurt.
| Value of a 1 point index move | Rough notional | |
|---|---|---|
| ES (E-mini) | $50 per index point | ~$320000 at 6400 |
| MES (Micro) | $5 per index point | ~$32000 at 6400 |
| 100 shares of SPY | $100 per SPY point, so ~$10 per index point | ~$64000 at 640 |
One ES contract is roughly the exposure of 500 shares of SPY. One MES is roughly 50 shares. If you size in ES the way you size in SPY lots, you are carrying about five times what you think you are.
ES to SPX and SPX to ES
SPX is the S&P 500 cash index. ES is the futures contract on that index, so both are quoted in the same index points and no divisor is needed. The two prices differ by the basis, the gap the futures market puts on financing and dividends until expiry.
- ES to SPX: subtract the basis. If ES is 6430 and SPX is 6410, the basis is 20 points, and an ES level at 6450 sits near SPX 6430.
- SPX to ES: add the basis. An SPX level at 6400 sits near ES 6420 with the same 20 point basis.
When interest rates sit above the dividend yield, ES trades above SPX, and the basis shrinks toward zero as expiry gets closer. On roll day the basis jumps, because the new front contract has three more months of carry priced in. Work the basis out once at the start of each session by taking the ES price minus the SPX price.
SPY to ES
Multiply the SPY price by ten and add the dividend and carry gap. SPY 641 is roughly ES 6410 before the gap, and a few points higher once the gap is added. The fastest way to get the exact number: divide the live ES price by the live SPY price at the open, then multiply any SPY level by that ratio for the rest of the session.
| From | To | Quick rule | Exact for the session |
|---|---|---|---|
| ES | SPY | Divide by 10 | Divide by (ES price / SPY price) |
| SPY | ES | Multiply by 10 | Multiply by (ES price / SPY price) |
| ES | SPX | Subtract the basis | ES level minus (ES price minus SPX price) |
| SPX | ES | Add the basis | SPX level plus (ES price minus SPX price) |
| SPX | SPY | Divide by 10 | Divide by (SPX price / SPY price) |
How many ES contracts match your position
To size ES against a position you already understand, compare dollars per index point.
- 1 ES contract: $50 per index point.
- 1 MES contract: $5 per index point.
- 100 SPY shares: about $10 per index point.
- 1 SPX option contract: $100 per index point of the underlying move at a delta of 1.
Worked example: a 1000 share SPY position moves about $100 per index point, which is the same as 2 ES contracts or 20 MES contracts. A trader holding 300 SPY shares has about $30 per point of exposure, which is 6 MES contracts and no whole number of ES contracts. Micros exist for exactly that gap.
A second check is notional value. At ES 6400, one contract controls about $320000 of the index. Divide your account size by that number before you size up, and remember that margin is a deposit and says nothing about how much the position can lose in one session.
Which one to actually trade
Which one to trade is a separate decision from the conversion. It turns on account size, hours, and tax treatment. The SPY vs ES vs NQ comparison works through it, and micro futures position sizing covers sizing MES specifically.
The daily Trade Plans publish levels for SPY and ES side by side, so in practice you rarely need to convert by hand.
FAQ
How do I convert an ES price to a SPY price?
Divide by ten. ES 6400 is roughly SPY 640. Divide the current ES price by the current SPY price once at the start of the session if you want the exact ratio for the day.
Why is SPY not exactly one tenth of ES?
Dividends accruing in SPY, the financing cost embedded in the futures price, and the fund's own small tracking difference. The gap is widest just after a quarterly roll and narrows into expiry.
How many SPY shares equal one ES contract?
Roughly 500 shares. ES is $50 per index point, and 100 shares of SPY is about $10 per index point, so one ES is about five SPY lots.
How many SPY shares equal one MES contract?
Roughly 50 shares. MES is a tenth of ES, at $5 per index point.
How do I convert SPX to ES?
Add the basis, the gap between the ES price and the SPX price. Check the gap at the start of each session, because the gap shrinks into expiry and jumps on roll day.
How many ES contracts equal 1000 shares of SPY?
About 2. 1000 SPY shares move about $100 per index point, and each ES contract moves $50 per index point.
How many MES contracts equal one ES contract?
Ten. MES is $5 per index point and ES is $50 per index point.
Does the same conversion work for NQ and QQQ?
The idea does, but the divisor is different and it drifts more. QQQ tracks the Nasdaq-100 at a different ratio than SPY tracks the S&P 500, so work out the current ratio from live prices each time.
Contract specifications are set by the CME and can change. Prices used above are illustrative. Educational content only. Not investment advice.
Educational content only. Not investment advice.