How closely do EURUSD futures track actual price ticks?

Discussion in 'Forex' started by andrewbee, Mar 7, 2011.

  1. Hi,

    Has anyone spent much time tracking how closely the EUR/USD combo trades to the CME 6E contract? I know futures don't correspond exactly to the underlying, since they're a derivative used for hedging etc., but wondered if anyone had studied it closely on a tick-by-tick basis.

  2. I've never performed an actual analysis of them, but just from watching IB's EUR/USD feed next to 6E - they track very precisely. There are obviously differences in that the EUR/USD can have a spread as low as 0.5 pips while 6E is minimum 1 tick. During very rapid price movements the prices aren't exactly correlated, but that's probably more to do with the timing of the data feed than anything else. Apart from that I've not seen any discrepancies worth worrying about.
  3. It's all about the carry... If carry materially changes, you'll see differences.
  4. Jaba122


    the 6E contract tracks the spot pretty accurately. The issue is when they hit some key levels and the stops are triggered, then the movement is exaggerated. 6E is not as liquid as spot EUR, obviously. And you have the carry, which creates price bias.
  5. This is just about as incorrect as could be.
  6. stevet


    Perfectly = arb
  7. moarla


    i look at them for 3 years now, they move exact the same ;future is higher or lower depending on interest and time, but the movements are equal