SPDR S&P 500 (SPY)

[denmo83]

The "cash market" is the same as the SPX inasmuch as the SPX represents the index for the S&P500. You can't actually buy the SPX because it's an index. The SPX will usually trade a few points above the ES because of a concept called "cost of carry." This, in simple terms, is what it would cost you to borrow the money to buy the same value in the stocks underlying the SPX to give you the same return as holding the future (i.e. the ES). The difference in points between the ES and the SPX will be greatest when a new contract is launch (i.e. when the contract is furtherest from expiration) and each day the difference will reduce in a linear fashion to the expiration date when the difference will become zero. This linear change in difference assumes that interest rates (which determine the cost of carry) do not change during this period.