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Houston TX
Legendary Market Wizard
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,057 since Dec 2013
Thanks Given: 4,409
Thanks Received: 10,225
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Friday 12th, one week to go before ESM0 expiry.
Current trading volumes
ESM0 1.85M, U0 1.73M M/U 0.48M
MESM0 484k, U0 878k, M/U 16k
This is where it gets interesting. If we represent those as a % of M0 volume...
ESM0 100%, ESU0 93.5%, M0/U0 25.8%
MESM0 100%, MESU0 181%, M0/U0 3.4%
So Sep volume in MES is double that in ES on a ratio basis, and the roll volume is less than 1/10th! My interpretation of that is that small retail traders have switched from MESM0 to MESU0 while pro/institutions have not (obviously) and that small retail traders are mostly day traders, due to the lack of roll activity in MES.
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