Does anyone "spread" daytrade the ES vs. NQ or YM vs. NQ etc.?

Discussion in 'Index Futures' started by increasenow, Jul 11, 2008.

  1. Does anyone "spread" daytrade the ES vs. NQ or YM vs. NQ etc.? I've been looking at this...has anyone done this?..Example: short one contract (daytrade) of ES and at the same time buy 1 contract(daytrade) of NQ...or same thing with YM vs NQ etc...any other Index futures pairs that are spread traded?(DAX, FTSE, ER2 etc.) contract short and the other contract long...very interested to see if any have done this and what profits have been do you determine which contract to go long and which short...thanks in advance...
  2. ES contract is worth $62K and NQ is worth $36K, so 1 to 1 spread is not a very good idea. CME requires 1 to 2 for spread margin.

    You have to do your own correlation studies. You are not going to get high quality profit making information on spreads for free.
  3. no...not talking about holding the spread overnight...just trade at my daytrade margin for each contract...the CME requirement is for overnight trading platform would simply view as 2 positions and one is long and other short...
  4. I said the same thing 3 different ways and you still managed to misunderstand me.

    I know you don't want to hold overnight as you clearly said "daytrade". The point is that a proper spread is 1 ES to 2 NQ.
  5. got you you spread trade any index futures or spread trade any futures?..thanks
  6. Twinsen


    I am looking at this too. Though NQ has less value than ES it runs quicker and more points than ES.

    So because this trade will not be considered as a spread by exchange, what margin levels will be required for ES/NQ position trade and day trade? Like separate markets or some SPAN margin will be applied?

    What can be the biggest gap between these markets?
  7. 2rosy


    exactly 14.25
  8. stoic


    I would really like to know just how you came up with that number. Especially since we're talking two different spreads.

    I have the ability to do a detailed daily analysis for these spreads (while we're at it, it would not be hard to add the YM vs. ES) over the next week (or more if something shows up) on a 2 min. basis. The main question is what if any profitable opportunities exist and how to identify them. How to identify which is the short and long sides. I'd look to see if there was something to it before I'd worry about the amount of capital (margin) required. Since this is an older thread has anyone come up with some ideas on what they feel is valid. I can start building the number cruncher this weekend.

    This is what I have so far:

    For this simple analysis I assumed a simple spread, i.e. not looking at any deviations outside the norm for each contract. I looked at only the time period where the contracts are considered the front month and I only looked at a very small sample so far on a 1 to 1.

    In the YM vs. NQ. the point move "in Dollars" the value of the move of the YM was greater than the NQ 67.12% of the time.

    In the ES vs. NQ. the point move "in Dollars" the value of the move of the ES was greater than the NQ 84.93% of the time.

    In the YM vs. ES. the point move "in Dollars" the value of the move of the ES was greater than the YM 83.56% of the time.

    This is a start, but in other spreads like the Crack Spread, the Feedlot Spread, the Crush Spread, or even the spread for July Corn vs. Dec. Corn where one is not looking to predict direction but to find aberrations in the spread of very closely related contracts. This simple analysis still requires one to be correct in the direction of the market and if you've mastered that the spread would vastly underperform.
  9. I did the ES/NQ spread for a while and honestly would still be doing it if I paid member rates, a 2 lot position in this is 14 total contracts so that will eat a lot of profits and make losers way worse. This along with X_Trader pro was too much so I dropped down to 2 exchange X_Trader and traded the ICS spreads and am happier.

    Also, 2 times I got partially hung on one side, which totally screwed me. Also, with an autospreader you can't use a stop.

    You may want to look at not daytrading this spread, if you have an idea of general market direction try a swing trade with the spread.

    Search for posts by Bone, he is great and very knowledgeable.
  10. querry


    I've looked into ES vs NQ. The big thing that keeps me from doing anything with it yet is that I have not looked into slippage which I think will be a huge factor in this equation.
    #10     Jan 5, 2013