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Is anyone here regularly/semi-regularly trading A6 Australian $ futures on CME?
I'd love to have a general chat (either in this thread or by private message, if preferred).
I'd be particularly interested in hearing experiences of how they currently (July 2020) compare with other currency futures regarding general volatility, ADR/ATR, peak trading hours, volumes, and so on.
Thanks in advance for any responses ...
Can you help answer these questions from other members on NexusFi?
I've traded about 1% of all the daily volume on 6A until rather recently. It came around to only $100~200 per day of PnL and we never really bothered to look at it carefully, just let it run in the background. I don't think it has changed very much over the years. There's not a lot of volume and the intraday mispricings are almost always too small to cross the spread. It's very efficiently priced - it upticks and downticks on the latency boundary of the shortest microwave path from NJ.
As with all the currency futures, the peak hours line up with the opening hour of London, the opening hour in NY, and then sometimes the last hour of London when it overlaps with the NY session. Trading both NY and London probably increased our PnL about 80% on the currencies.
