Comparison of ES, NQ, YM & ER2

Discussion in 'Index Futures' started by granville x, Sep 13, 2003.

  1. I've mainly been trading the NQ and ES but am now looking into the YM (Dow) and ER2 (Russel 2000) futures. First I wanted to do a comparison so I knew the pros and cons. I thought I'd share that with you. It may not be complete, nor even perfectly correct (some of it is subjective), but for me it worked.
    Figures are for September 2003.

    NQ: Nasdaq 100 e-mini - cme
    ES: S&P 500 e-mini - cme
    ER2: Russel 2000 e-mini - cme
    YM: Dow e-mini - cbot

    Index value (Sept 2003) - $/pt - $/contract - inital margin (TS) – “purchasing power”
    NQ: 1350 – 20 – 27000 – 2250 - 12
    ES: 1000 – 50 – 50000 – 3563 - 14
    ER2: 500 – 100 – 50000 – 3000 - 17
    YM: 10000 – 5 – 50000 – 2700 - 19

    Pts/tick - $/tick – equals % per contract
    NQ: 0.5 – 10 – 0.037%
    ES: 0.25 – 12.5 – 0.025%
    ER2: 0.1 – 10 – 0.020%
    YM: 1 – 5 – 0.010%

    Usual spread in pts – in $ - in % per contract
    NQ: 0.5 – 10 – 0.037%
    ES: 0.25 – 12.5 – 0.025%
    ER2: 0.2 – 20 – 0.040% (often 0.1 pts, but very thin on each level, so likely getting 0.2?)
    YM: 1 – 5 – 0.010%

    Average day H/L %
    NQ: 2.3%
    ES: 1.6%
    ER2: 1.6%
    YM: 1.6%

    Volume per day – equals BUSD
    NQ: 270000 – 7.3
    ES: 700000 - 35
    ER2: 16000 – 0.8
    YM: 50000 – 2.5

    Volume per minute avg – usual during non doldrums hours
    NQ: 667 - 1500
    ES: 1728 - 3000
    ER2: 40 - 100
    YM: 123 - 300

    Averagel noise compared to ES, where noise is how much it moves in % when in tight 5-10 min range
    NQ: 2
    ES: 1
    ER2: 1
    YM: 1

    Some of my conclusions from this - besides the obvious from the above - are:

    * NQ is much noisier than the other futures, needing about twice as large initial stops (calculated in %). If I use a stop of 1.5 pts in ES, the stop in NQ equals about 4.0 pts (1.5 x noise x (1350/1000), if that’s what estimated for not being whipsawed too often.

    * An advantage with NQ is that more contracts can be bought, thus easier to scale in and out of with less money/risk, if that’s your trading style.

    * NQ has an advantage of greater movements in % during a day. Often, the clear moves in NQ are as much as twice as large in % compared to the other futures.

    * If trading ER2, due to very thin volume, it may be wise to use tick-charts, specially if relying on signals from indicators.

    * All contracts listed above are tradeable in my opinion.

    If you have any comments, expansions or disagreements on this comparison, I’d be glad to hear them. :)
  2. sempai


    Interesting post granville x.

    One thing I would add is the effect of commissions, particularly when trading the Mini-Dow. For example, at $5.00/rt, commissions equal 1 tick in the YM as opposed to .4 ticks for the ES.

    For scalpers or very active traders, that could be a significant factor.
  3. Thanks for pulling it all together in your post.

    I am interested if anybody has traded ER2?

    It has recently rallied nicely.

    Michael B.
  4. I was wondering how YM traders factored in the increased commission.

    Brokers must love their YM traders.

    Michael B.
  5. You also have to take into account which exchanges do not have a maximum position size or a maximum order size programmed into their systems so that some rogue clerk can come along and 'accidentally' enter a market order to sell 10,000 YM and then arb the difference between how the ACE system collapses and how the S&P floor handles the imbalance.
  6. Yes, commission was something I missed in my post. For all the above mentioned index futures, the commission at TS is $5.60 per RT and contract, a bit less at IB.

    Calculated in percent of the contract value:

    ES, ER2, YM: 5.60 / 50000 =0.011% of contract value
    NQ = 5.60 / 27000 = 0.021% of contract value

    I'd say the NQ commission is the highest?
  7. PuffyGums, thanks, I guess you're right that the added risk in the thinner contracts should be taken into account.
  8. Cheese


    Granville x, a helpful comparison of the index contracts.

    What has been your experience of speed and liquidity when trading larger sizes?
  9. I trade ER2 using a swing method with 3to 10 day swing. It is less volatile than the ES and NQ and trends much better and also currently has higher relative strength.
  10. Do you use an indicator based swing method. I am a swing trader too. Do you rely on ES signals to enter ER2?

    Can you share a little more about trading the ER2?

    I do not think many trade it, so it is tough to find a trader to ask questions of.

    Do you have any liquidity problems.

    Can you get multiple contracts filled with no probem.

    Does this instrument have the same slow lunch time period?

    Are the hours traded from 8:30cst to 15:15cst? Is it 24hr.?

    Michael B.
    #10     Sep 13, 2003