You're right, on the whole.

I'm not trying to get an argument going , but, while it is certainly good to have a "disaster" stop in place, or at least I do (some good traders don't -- see the S&P spoos thread), it really is not a foolproof safeguard. In a true disaster, you do not know where, or if, you will get filled.

During the flash crash, there was no liquidity at all, and you have no idea where your stop would have gotten filled; probably near the bottom, when some buying finally came in.

Today, you don't know where you would get filled if there were a trading halt due to limit down. Remember, there is a whole lot of volume in ES, but we were within a whisker of being limit down the other day.

Sorry to go on about this topic; by all means, assess your risk profile and make your own decisions about what you want to do. Just trying to fill in some of the details here.

I hope you do well in your trading.

Bob.

With TD Ameritrade's free commission on stocks and ETFs, isn't better to trade SPY instead of ES? Also, TDAmeritrade allows 24 hour trading on SPY. There is no advantage in trading ES.

I am also, trying to figure out selling options (ATM straddle) 5 weekly options on SPY. Cover with 500 shares of SPY long and 1 contract of ES for short. That way I am perfectly covered for loss and pick up premiums on a weekly basis. Is this possible? Has anyone done a backtest?

With TD Ameritrade's free commission on stocks and ETFs, isn't better to trade SPY instead of ES? Also, TDAmeritrade allows 24 hour trading on SPY. There is no advantage in trading ES.

ES (and futures in general) have quite a few advantages. Some of them:

• 22.75 hour trading window. SPY is available to trade 16 hours a day: from 4am to 8pm, Eastern time. ES is available from 6pm to 4:15pm, and 4:30pm to 5:00pm. Liquidity is of course less than in the core cash hours, but for any retail trader it is more than sufficient. This gives near 24 hour exposure, and is available while all world markets are trading.
• Leverage. Let's assume current market prices. ES is 4134, SPY is 413. ES notional value per contract is 4134*50 = $206700. SPY's notional equivalent is thus 206700/413 = 500. So, 500 SPY roughly equals 1 ES. In other words, buying 500 shares of SPY at 413 and selling at 418 gives you a $2500 profit, while buying 1 ES at 4134 and selling at 4184 gives you a $2500 profit. However, those 500 shares of SPY at $413 will cost you $206,700. However, the exchange margin requirement for ES is $11,000. So, you only need $11K to take the equivalent trade in ES. And as we all know, unless you hold that during the close, your broker will let you get by with putting up only $500-$1000 for that contract. Not sensible, but possible. So, an outlay of $206K versus $1K... Now, if you have a larger account, your broker may provide portfolio margin. Maybe you can get even 10:1 for SPY, but this still is dwarfed by the 50:1 leverage that ES provides out of the box. Again, leverage is a sword that cuts both ways, so use caution here.
• Day-trading margin. PDT rules don't allow actively day-trading SPY unless you maintain a minimum account of $25,000. This is a barrier to entry for small traders. Most brokers allow opening accounts as small as $1000 and with micro contracts (last bullet point), day trading is possible (even if not advisable for accounts this size).
• Favorable tax treatment. If you are fortunate enough to *make* money, then you get more favorable tax treatment with futures (section 1256 contracts). Whereas short term SPY trades (held less than 1 year) are taxed fully at the short term capital gains rate (a higher %), 60% of futures profits are taxed at a long term capital gains rate (a lower %), and only 40% are taxed at the higher short term rate.
• Ubiquity. ES is the most liquid, most heavily traded futures contract on the planet. Its primary mechanism is to hedge risk on SPX options, which are the options on the most liquid global market, the S&P 500. SPY is liquid of course, but as ES is primarily a hedging vehicle, it is the go-to.
• Favorable spread margin. Let's say you think cyclicals/industrials are due to outperform tech due to an increased risk of rising interest rates. You work out the notional equivalents and you decide to buy YM futures and sell NQ futures. Well, with a good broker you will not have to pay full margin for both YM and NQ. You will get a significant margin credit. Your ETF alternative is to buy DIA and short QQQ, and you are not likely to get favorable margin on this.
• Micro equivalents. CME's micro e-mini contracts have been a huge success (MNQ volume is double that of NQ, and MES is about 70% of ES). They've brought the notional value down to a more reasonable level for the average retail trader. The MES has a notional equivalent of 50 SPY shares, with a very small margin requirement ($50 day trade--yikes--and around $1200 exchange). While SPY has the advantage of being much more granular than the ES, the MES, being 1/10 the size, serves much the same role that SPY did for those who might want a smaller size than what ES provides.

With TD Ameritrade's free commission on stocks and ETFs, isn't better to trade SPY instead of ES? Also, TDAmeritrade allows 24 hour trading on SPY. There is no advantage in trading ES.

I am also, trying to figure out selling options (ATM straddle) 5 weekly options on SPY. Cover with 500 shares of SPY long and 1 contract of ES for short. That way I am perfectly covered for loss and pick up premiums on a weekly basis. Is this possible? Has anyone done a backtest?

There is a vast amount of posting on futures.io (formerly BMT) about S/R, price action, and every other trading topic you could think of, on ES and the other futures contracts. Diving into it may be confusing initially, since people are not always going to agree. Certainly not all of it would prove useful to you; what works and makes sense for one person may be Greek to another.

[Unsolicited plug:] There's a whole lot more material/threads/posts available if you spend the one-time 100 bucks for an Elite subscription. No pressure is meant, and no one could possibly pay me enough to say this. But you get a lot of experienced people to talk to, ask questions of, learn from. And the culture here is oriented to sharing and mutual contribution. It's a good place to learn stuff, and it's better if you can access everything. OK, [End plug.]

In the meantime, it's good that you've got something that is working for you, and it's a good decision not to mess with it until you can see something better. Hope you find everything that you're looking for here.

Bob.