Equity index futures
What is the relationship between the S&P 500 cash index pricing and the front-month ES contract basis?
By Easy Money Scanner · Educational reference · Not investment advice
The short answer
The basis is the price difference between the S&P 500 cash index and the front-month ES futures contract, reflecting financing costs and dividends.
How it works
This basis typically narrows toward zero as the futures contract approaches expiration and converges with the cash index value.
An example
ES may trade at a slight premium to cash index value before expiration.
Risk & limitations
Basis can widen unexpectedly during market stress, affecting arbitrage strategies.
Examples are hypothetical, not trade recommendations. US contract and regulatory references do not automatically apply in Canada. Rules, margin requirements and broker policies can change; confirm them with the relevant authority and your broker.