How about currency futures instead of indexes? They generally exceed the indexes in terms of trading range.
Currency is great too, but it is much different then indexes, requires more experience to trade successfully IMO, and there is more risk, more range means larger stop needed..
As it happens, I also looked at E6 for the previously noted period under review. However, I should note that I only considered the price action during RTH between 8:20 AM and 3:00 PM EST. I know that a lot of activity in currencies takes place outside of RTH. However, I have no interest in trading around the clock, and so I limited my review to RTH. Against this background, the average range for E6 for the 14 trading day period March 15 to April 1, 2010 inclusive, the average RTH daily range was approximately $1,020. Let us compare E6 to NQ. While E6's average daily range is about 2.43 times that of NQ, its tick size of $12.50 is 2.5 times that of NQ. Therefore, aside from transaction costs, it is essentially a wash. I also looked at CL. It won hands down among the 6 markets I looked at, having an average daily trading range of approximately $1,520 during RTH and a tick size of only $10.
6E ticks are equal to ES Ticks, 6B is close to NQ/YM @ 6.25. Price action is a bit different without the elastic basket effect of indexes. Tends to run deep and is better suited for stop and reverse strategies. ES is the only index on your list where >80% of the market bid/ask prices are reflective of last trade. How many ticks are you capturing during the RTH session? Been seeing an increase of early activity starting around 6:00am and strangely consistent 8:30am CST volume spikes. Have you tried correlating these indexes to their corresponding leveraged ETF Options? Interesting intraday hedging possibilities because of the 2x and 3x nature of these instruments. Massive liquidity with tight margins may let you wrap a trading range in lieu of using hard stops. Take a look at the Proshares Russell based ETF's... IWM. Strange thing about TF is its trading day ends at 6:00pm and that last 1/2 hour overlaps the maintenance window of most trading platforms. It was much better to trade when it was on Globex.
Thanks for your post. As I noted earlier , my review was very limited in its nature and scope, so I don't think we can necessarily draw any major conclusions. Rather, just a few talking points until someone hunkers down and does some real research. I don't trade ES any longer, and I have never traded ETFs or options of any kind.
I saw your message post to austinp and would like to chime in. Here's my opinion that's also a fact... The S&P 500 Emini ES is more heavily marketed (advertised and promoted) to retail traders than any of the other Eminis by data vendors, brokers, blogs, forums, chat rooms and financial TV networks. Heck, go to twitter (stocktwits) and you see hundreds of daily commentary about the Emini ES with only a dozen or so amongst each of the other Eminis. It's that type of peer pressure that pushes many small traders to the Emini ES. Think about it...if you walk into a room full of traders of the Eminis and most yell that they trade the Emini ES...the odds are good that you'll select the Emini ES if you were a newbie trader. Also, as one institutional trading pal said to me...they love the fact that retail traders are more attracted to Emini ES in comparison to the other Eminis because it helps with the liquidity of their positions. He even jokingly stated..."we'll be at each other's throats if it wasn't for you guys" in reference to retail traders. Mark
Interesting observation, Mark. Thanks for your post. What is your view on ES's tick size in relation to its own volatility and that of the other indexes?
Frankly, I'm surprised that this thread did not generate more reaction and response from index traders, particularly ES traders.
The $ difference is one of the reasons I swithed from ym to es. The other was the whipsaw (noise) in YM due to low liquidity.