E-Mini Size & Cars

Discussion in 'Index Futures' started by blueem, Aug 8, 2001.

  1. blueem

    blueem

    For the S&P E-Mini, what would be the maximum number of contracts that could be safely daytraded given the current liquidity?

    Also, does the term "cars" refer to 5X. For example, would "MLynch 1202 bid on 20 cars" be the equivalent of 100 contracts?
     
  2. I have a similar question. What number of NQ100 Emini contracts can I daytrade "safely"? There's almost always 5 or more contracts on the best bid/ask levels. Sometimes 20, 50 or even 100.

    DT-waw


     
  3. my 2 cents here...

    You may have deep pockets but be careful with this. The emini s/p and naz are great trading products, but they move fast, real fast. The naz can hit air pocket coming out of a support and resistance tight range and move 6-10 point in a minute. At 50 contracts on the emini, thats a 6 to 10 k move. My advice, FWIW, show yourself that you are profitable with small size and scale up as need be.

    Otherwise, its pretty liquid, and if you don't want to throw 20 contracts out there on the market, post a bid/offer, and someone will come get them soon enough
     
  4. well, case in point. Just as I wrote the above, the following happened on the nqs (look at a chart for 8/8/01 starting at 13:45)

    In five minutes it went from 1685 to 1670, and then BAM, it fell all the way to 1650. Now this last one may be a bad print, but I was setting here watching it and it happened. Then, instant rebound back to 1670, four minutes of piddling around, and then a knife in 90 seconds of going 1675 to 1665, four minutes after that and we just touched 1660. If your swinging size when this happens, it could hurt, and you may find trouble when your stop gets hit and there is not a lot of liquidity AT THAT POINT. Hence, the 20 point drop.

    Best,

    Mike
     
  5. vitajex

    vitajex

    This thread contains some useful info putting
    futures into perspective for stock traders.
    It mentions 1 NQ is similar to 800 shares QQQ
    at 5:1 leverage. With the recently reduced
    NQ initial margin, it is closer to 6x leverage
    now. 1 ES is similar (I think) to 500 shares
    SPY at approximately 13x leverage. Handle with
    care.

    http://www.elitetrader.com/vb/showthread.php?threadid=1797&pagenumber=3

    -v
     
  6. blueem

    blueem

    If I sold short one NQ01U contract at the 11:22am high at 1719.50 and covered at the 15:40pm low at 1626.00, I would gain 94.50 handles at $20 per handle or $1890.

    If I sold short the QQQ at the 43.57 high and covered at the 40.30 low, I would gain 3.27 points.

    $1890 divided by 3.27 = 577.98. So to reach the same profit level today as trading one E-Mini contract, I would need to trade approximately 580 shares of the QQQ's.

    The deposit required to trade the NQ would be $5250 and the cost to trade the QQQ's unmargined would be $25,270. On a fully-margined basis, I guess this would require 50% or $12,635.

    The return on the NQ would be 36% and the return on the fully-margined QQQ's would be 15%.

    Hopefully, my math is correct here, but I won't swear to it.

    I guess the question here is how much the increased leverage in the NQ is tempered by the smaller percentage movement(down 1.84% today)vs. the QQQ (down 4.21% today).

    Would the NQ be more or less risky than the QQQ given a similar percent risk or volatility based position sizing strategy?
     
  7. vitajex

    vitajex

    Blueem, the hi for the QQQ today wasn't actually
    43.57, but was 42.65, so the range (with a low
    of 40.30) was 2.35. 1890/2.35 ~ 800.

    I see the bad 43.57 number on my QCharts too,
    but I checked the intraday, and it doesn't seem
    to be real.

    -v

     
  8. QQQ and NQ produce the same returns when the sizes are adjusted to make given QQQ trade a whole number multiple of NQ purchasing power.

    The advantages of NQ:
    1) Lower commissions
    2) More liquid / less slippage

    The advantage of QQQ:
    Better risk control, because it is divisble down to 1 share, whereas NQ is only divisible to the nearest 800 of QQQ equivalent shares.

    Conclusion:
    Beginners should start with QQQ and, only when they get good, they should step up to NQ
     
  9. ron2368

    ron2368

    Concerning the "cars", I think that it is just a pit term for contracts of the full sp futures, 1 car =1 contract. I vaguely remember reading somewhere that this term was due to the quantity of a contract of say the grains( corn, oats or the like) were of sufficent size to fill a railroad car. Hope someone has a better memory than me.

    RC
     
  10. tymjr

    tymjr

    ron2368 is correct.
     
    #10     Aug 8, 2001