From SPX to ES: the basis and the "odd" levels

Gamma levels are computed on SPX options, then carried over to the ES chart after conversion. That conversion explains levels like 7,630.75.

The basis

December ES does not trade at the same price as SPX. The gap, called the basis (or fair value), reflects the cost of carry to expiry: interest rates minus dividends.

• At the end of October, the basis on the December contract is a few dozen points. It depends on prevailing rates and dividends.
• It shrinks day by day and reaches zero at ES expiry, on Friday, December 18, 2026.
• DeepGamma offers a conversion of strikes into futures prices, which adds that basis for you.