# Only ES and VWAP? You're missing a big slice of the action

Scalping with only ES and VWAP? The S&P 500 trades through five main instruments, and, measured in dollars, almost nine in ten of its options trade away from ES. The rest is mostly on SPX, and it's read in a different place from the price.

Video: https://www.youtube.com/watch?v=AlAZLMWxToQ (8:40)

## One index, five instruments

Video: https://www.youtube.com/watch?v=AlAZLMWxToQ&t=67s

Start with the family. SPX is the S&P 500 index itself: a number calculated from about five hundred companies. You can't buy it, but you can trade options on it. XSP is the same index divided by ten, with its own options.

SPY is a fund that holds those stocks. It's worth about a tenth of the index, but not exactly, because of dividends and costs. Then the futures: ES is worth 50 dollars a point, and MES, the micro, a tenth of that.

Why do they move together? Arbitrage. If the future drifts away from its fair value, traders buy one side and sell the other, and the gap closes. SPY is kept on its value by the big firms that create and redeem its shares. And the market makers who take the other side of SPX options often hedge them with futures.

So a move in one quickly shows up in the others, each at its own price. Research says futures and SPY share the lead in price discovery, and when volatility rises, futures tend to move first.

![Five cards: SPX, the index itself; XSP, SPX divided by ten; SPY, a fund that holds the stocks; ES, the future at 50 dollars times the index; MES, the micro future, a tenth of ES.](https://livegexlevels.com/blog/beyond-es-and-vwap/instruments.jpg)

*The index, the fund, the futures: one S&P 500.*

## Two different volumes

Video: https://www.youtube.com/watch?v=AlAZLMWxToQ&t=143s

Now the key point: there are two different volumes. The underlying's volume counts futures contracts and SPY shares changing hands: how much of the instrument itself is being traded. The options' volume counts option contracts: where people buy and sell protection and bets, strike by strike. That's where the positions behind the walls come from.

The underlying first, in dollars a day. ES trades about one and a half million contracts: more than half a trillion dollars. SPY trades more than forty billion, MES a little less. And SPX and XSP? Zero. They're indexes, a number, not something you can buy, so they have no volume of their own. What trades are their options, and the stocks underneath.

VWAP is built on this volume too: it sees the underlying, not the options.

Options are another story. Cboe compared the three biggest, in dollars: SPX is about three quarters, SPY about fifteen percent, options on ES about eleven. XSP and options on MES are much smaller, and they're not in that count.

And about six SPX contracts in ten expired the same day last year; now it's close to two in three. So most of the options activity is on SPX, and a chart of ES alone doesn't show it.

![A pie chart of S&P 500 options in dollars: SPX about three quarters, SPY about 15%, options on ES about 11%. Beside it, six SPX contracts in ten expiring the same day.](https://livegexlevels.com/blog/beyond-es-and-vwap/options-volume.jpg)

*Options volume in dollars: most of it is on SPX, which an ES chart doesn't show.*

## Day and night

Video: https://www.youtube.com/watch?v=AlAZLMWxToQ&t=241s

The clock changes the mix. The index only moves while its stocks trade. At night, the S&P 500 trades mostly through the futures: in our data since June, about a fifth of ES volume trades outside the American cash session.

Options follow the same pattern. Last year, options on ES traded about seventeen percent of their volume outside American hours; SPX options at night, only three or four percent. In the day session, the options weight goes back to SPX.

![A 24-hour line with the cash session from 9:30 to 16:00 New York time; bars show ES futures about a fifth outside the cash session, options on ES about 17%, SPX options 3-4% at night.](https://livegexlevels.com/blog/beyond-es-and-vwap/night.jpg)

*At night the S&P 500 trades mostly through the futures; by day, options weight goes back to SPX.*

## One reading, two places

Video: https://www.youtube.com/watch?v=AlAZLMWxToQ&t=280s

This is what LiveGexLevels puts together. Five instruments on one scale, in SPX points. The walls, estimated from the options of the index, the fund and the futures, are merged and weighted by their size in dollars. A wall seen by only one of the three markets is drawn thinner and fainter.

The two volumes sit in two places. The underlying's volume, the whole family's, is read with the price: volume bars underneath, VWAP on the candles, and the volume profile one click away. The options' volume of SPX, XSP and SPY, for the nearest expirations, sits on the right edge of the US500 chart, strike by strike, with the calls in yellow and the puts in purple.

And there are two charts. On the left, US500: the whole family together. On the right, the instrument you trade, SPX, XSP, SPY, ES or MES, with the same levels already converted to its own price. The two are linked by default: same timeframe, same cursor.

A move on the right, you read it against the walls and the options' volume on the left, at the same moment. Reading them together gives your reading more context, never less, whatever instrument you choose.

![Two linked charts: on the left US500, the whole family; on the right your instrument, SPX, XSP, SPY, ES or MES, with the same levels converted to its own price and the same cursor.](https://livegexlevels.com/blog/beyond-es-and-vwap/two-charts.jpg)

*Two charts, linked by default: same timeframe, same cursor. Illustration, not market data.*

## A few extras

Video: https://www.youtube.com/watch?v=AlAZLMWxToQ&t=360s

First, the volume progression. A bar that's still forming always looks small next to finished bars. So LiveGexLevels compares it with how much each earlier bar had traded at the same second into the bar. While the bar is still open, you see whether it's trading more or less than earlier bars at the same point. The rounding is built to be cautious: it can make the bar look weaker, never stronger.

Second, the levels over time. The flip leaves a trail of where it stood during the session, and the main walls show an arrow when they got heavier or lighter in the last hour.

Third, dividends. Four times a year SPY goes ex-dividend, and its price drops by the dividend, roughly seventeen to twenty SPX points, while the index doesn't. That's why SPY is never converted with a plain times ten.

Fourth, the opening print. At half past nine New York time, the first SPX value is partly stale, because many stocks haven't traded yet. In our measurements, the gap from what the futures implied was a median of six points, and about one point a minute later. So US500 doesn't take that first value at face value: it waits a minute, until the index has caught up.

![Three panels: levels over time, with the flip's trail and a wall arrow; SPY ex-dividend, dropping against SPX; the 9:30 print, the first SPX value against what the futures imply.](https://livegexlevels.com/blog/beyond-es-and-vwap/extras.jpg)

*Levels over time, SPY's dividend and the 9:30 print.*

## In brief

Video: https://www.youtube.com/watch?v=AlAZLMWxToQ&t=444s

- One index, five instruments, moving together, each at its own price.
- Two volumes: the underlying's, where the futures and SPY trade and the indexes have none, and the options', about three quarters on SPX.
- LiveGexLevels shows the first with the price and the second on the right edge, on two linked charts.
- Read together, they always add context to your reading.

## Sources

- [Cboe: SPX options specifications](https://www.cboe.com/tradable-products/sp-500/spx-options/spx-specifications)
- [Cboe: XSP (Mini-SPX) options specifications](https://www.cboe.com/tradable-products/sp-500/xsp-options/specifications)
- [Cboe, 30 September 2025: A Tale of Two Markets, SPX options vs E-minis](https://www.cboe.com/insights/posts/a-tale-of-two-markets-spx-options-expanding-lead-vs-eminis-)
- [Cboe: Market Metrics That Matter, September 2026 volume highlights](https://www.cboe.com/insights/posts/market-metrics-that-matter-derivatives-september-2026-volume-highlights)

For educational purposes only, not financial advice.

URL: https://livegexlevels.com/blog/guide/beyond-es-and-vwap/