Emini Russel traders how is the volume?

Discussion in 'Index Futures' started by r-in, Oct 26, 2010.

  1. r-in


    What is the daily volume like and are fills good? I haven't traded since it left the CME, but miss it. Yes, I can go to the ICE site, but am asking here.
  2. emg


    the lowest volume in mini index results to slower order filled. the average bid/ask spread 2-4 ticks.
  3. r-in


    Thanks, is it worse than the YM? 100,000 in the YM is a good day it seems. I'm debating adding the ER back to my trading, but I like volume.
  4. bone

    bone ET Sponsor

    The mini-Russell is an excellent spread vehicle against the mini-Dow.
  5. What ratio do you use. Thanks.

  6. bone

    bone ET Sponsor

    The 2 year correlation close-on-close is 95.6%

    To currency adjust the contracts at today's settle of $70,130 the ratio is 1 TF : 1.28 YM

    To adjust for volatility, the ratio is 1 TF : 1.63 YM

    The best way to beta correct for these contracts IMO is to monetize the 20 Day Average Daily Trading Ranges for each of the contracts, and Voila !
  7. Thanks but it sounds like too much work/bookeeping.

    So many things can go wrong with spreads :}}}}

    + you need professional cost structure -- if your gonna start spreading.
  8. spd


    Ive found the mini Russell fills and spread to be fine. It can be a hassle to trade sometimes, but when its moving it really moves.