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Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
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Similar situation today 57k ES spreads and only 11 MES spreads. In fact right now at 8:51 ESM9/U9 is 395/400 (57k/38k) and MESM9/U9 is 400/410 (177/200) so basically 400 choice!
Little surprised there isn't more rolling in the MES.
Random thought -- if markets continue to expand, which is what inevitably happens in a growing economy, do you see a situation in the future where the Micros overtake the Minis in terms of volume traded? The notional value of an emini is 50x the index. At today's levels this is about $150K.
Back when the ES was introduced in 1997, the notional value was about $50K. Though today's notional is only 3x what it was then, it's still quite a jump. Imagine if the S&P doubles in 10 years -- you'd be looking at a $300K notional per contract, which is getting a bit rich.
Another way of saying all this ... a 10-handle move just 10 years ago was a "normal" type of day, and I remember when a 20-handle day felt like a big move. Well, that was at ES 1200 or so, IIRC.
So, I could very well see the Micros, with their $15K notional value, nicely moving into the role of primary vehicle over the coming decade.
Your theory lacks the growth that the markets have experienced not only in their index size and value but what people actually hold. For example, $401K funds are now in an all-time high; hedge funds have more funds than they ever held in history, and every person of legal age can now buy stocks on the phone. So size does matter.
As a result of this growth, the money that institutions move around is quite "heavy", and they need highly liquid contracts of high notional value to move around, and that is what ES provides. Most of the ES movements comes mainly from cash adjustments to portfolios, hedging, and algos that are also heavy in size. Since the large SP futures is non-existent practically, I think we will see sizeable growth in the ES over the years. It does not mean that there will not be periods where ES could see less volume, but as a long term trend, I see it's expansion.
BTW, the more I observe the MES, the more I conclude that the MES is just "food" for arbitrage of algorithmic traders.
Matt Z
Optimus Futures
There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.
Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
1 800 771 6748 local 561 367 8686 email [email protected]
If you take a look at most of the micros versus the eminis, you will notice a difference of one tick many times.
This creates an arbitrage where you can sell one contract and buy the other.
These are not retail strategies that retail can take advantage of due to latency and in-depth programming. I am not sure how retail gets affected by this, but in a perfect world, they should always be one to one. Spreads are an additional cost to overcome.
Matt Z
Optimus Futures
There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.
Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
1 800 771 6748 local 561 367 8686 email [email protected]