Nasdaq100 E-mini volume dropped in 2005

Data from CME.... it seems that e-Mini traders are flocking to Russell 2000 from Nasdaq

i) Russell 2000
2005: 114,691
2004: 67,673
Growth: 69%
ii) S&P 500
2005: 821,808
2004: 660,881
Growth: 24%
iii)P MidCap 400
2005: 19,387
2004: 12,974
Growth: 49%
iv) CME E-mini NASDAQ-100
2005: 287,512
2004: 305,014
Growth: - 6%

 

Nasdaq trades in half point increments and the Russel trades in one tenth point increments. The average spread in percentage terms for Nasdaq is 0.0284% compared to 0.0141% for Russel futures.

For SP futures trading in quarter point increments the spread is 0.192% right now. Then again for Mini Dow futures when they are trading with 1 point increments, the average spread can be 0.0090%.

The spread is a larger cost than your commission in most cases. The big guys don't want us to see that or take it into consideration. It's obvious that Russel futures are a better deal. The best deal is with Mini Dow futures though, that's why I prefer to trade them.

 

I find nery little excitement when trading ym: it is just stuck for most of the session and when wrong my losses are not much smaller than those I take on es. And all this for a shitty 2-5 points?
ym is crap imo.

 

0.192% divided by 0.0090% is 21.33333.....

Just doesn't sound right to me...

 

The Russell 2000 index is what the Naz 100 was before 4/2000.

To me that is the lure.

I made a lotta money on the bubbling Naz

The Naz has just gotten plain boring!

while the Russell has basically doubled its money in three years

(350->700)

 

The $20 handle and $.50 tick are killing the contract. It's nice to see continued flow into the ER2.

 

Yes, I was sloppy in how I placed the zeros, they should be:

Value, Increment, Trade Inc/Current Value
ES 1292 0.25 0.000193
ER2 711 0.1 0.000141
NQ 1760 0.5 0.000284
YM 10995 1 0.000091

You have to also consider the multiplier for each contract:

$/Increment, Multiplier, Multiplier X Current Value
ES $12.50 50 $64600
ER2 $10.00 100 $71100
NQ $10.00 20 $35200
YM $5.00 5 $54975

So if you look at NQ futures, your cost per trade is round trip commission of about $5 and spread = $10, for a total of $15 but you're only controlling $35,000. Your best deal is with YM futures, for $5 commission and $5 spread, total $10 you control $55,000.

The deal for Russell futures looks comparitively good too. the total cost is $5 round trip commission plus $10 spread for total $15, but you control twice the equity of NQ futures at $71,000.

As far as I know, the average daily range for all of the futures is 1.5 to 2% and they don't go too far out of synch. I may as well take the lowest cost to get in and out of a trade.

 

ur missing a step

the last big trend day was 1/3/2006

from High to Low the approximate range for that day was

ER2 got 21 points = $2100

ES got 26 points = $1300

NQ got 55 points = $1100

YM got 187 points = $935

 

But how often do these type of days happen anymore? Seems too
far between them nowdays compared to the good ol' days...