This study considers the evolution of price discovery in the S&P 500 E‐mini futures and the corresponding exchange traded fund (SPY ETF) over the period January 2002 through December 2013. The study reports evidence that the E‐mini futures dominate price discovery at the beginning of the sample period. However, from 2007 onward both the SPY ETF and E‐mini futures contribute similar portions to the price discovery process. The level of price discovery is significantly influenced by volume measures and relative levels of transaction costs for both securities.