Many people say ES offers much better better commission and slippage characteristics than SPY; and I agree. There's virtually no slippage unless you're swinging many hundreds of contracts at a time. It's a fully electronic bid/offer matching system (GLOBEX). Almost 24/7. Commissions are just $5/RoundTrip at interactivebrokers.com Even 1tick=0.25points=$12.5 covers round trip commission. And of course, they offer huge leverage but it's much more flexible than SPY because you can use as much of that leverage as you want. For example with $20K you can choose to trade anywhere from 1 to 5 contracts, thereby adjusting your leverage. Check out http://www.brainshark.com/cme/emini for more info about eminis.
