Nikkei 225

Discussion in 'Index Futures' started by doli, Dec 24, 2006.

  1. doli

    doli

    In my time zone, the Osaka exchange opens at 1700;
    the Singapore exchange opens at 1645. Those hours
    give me an opportunity to trade after work, so
    I've looked into trading the Nikkei 225 futures.
    This is what I've found:

    On the Osaka exchange, there are two contracts:
    the big one and a mini. The big contract trades
    in 10 yen increments and has a multiplier of 1000,
    so one tick is worth 10000 yen; the round-trip
    commission is 1000 yen and the intraday/overnight
    "margin" is 281250/562500 yen, respectively. The
    mini contract trades in 5 yen increments and has
    a multiplier of 100, so one tick is worth 500 yen;
    the round-trip commission is 300 yen and the
    intraday/overnight "margin" is 28125/56250 yen,
    respectively.

    On the Singapore exchange, there is one yen
    denominated contract. It trades in 5 yen increments
    and has a multiplier of 500, so one tick is worth
    2500 yen. The round-trip commission is 600 yen,
    and the intraday/overnight "margin" is 156250/312500
    yen, respectively.
    Singapore's yen-denominated contract is 1/2 the
    size of Osaka's full-size contract.
    There is also a yen-denominated
    contract that trades on the CME (outside of Asian
    regular trading hours), which is the same
    size as the Singapore contract and
    fungible with it.

    The Osaka exchange doesn't appear to offer trading
    outside of its regular hours, which are
    0900-1100 and 1230-1510. Singapore
    trades from 0745-1015 and 1115-1430, and offers
    after hours trading betwen 1530 and 1900. Interestingly, Singapore
    also trades for a few minutes before and after the morning and afternoon
    sessions in Osaka. Singapore is currently one hour behind Osaka,
    so Osaka's regular trading hours do overlap with Singapore's.

    Considering commission as a percentage of bid/offer spread,
    the big Osaka contract offers the best deal at 10%; Osaka's
    mini contract is the worst at 60%; Singapore's contract
    comes in at 24%. In terms of "margin" to contract size,
    Singapore's requirements are a little more than twice
    Osaka's, even though the contract is only half as large,
    which -- I am speculating -- may be due, at least in part,
    to the fact that Singapore's circuit breakers don't kick in as soon as
    Osaka's. Considering my account size and risk tolerance, however,
    the Singapore contract is the most
    attractive, and fungibility with the Chicago contract
    may offer some additional trading opportunities.
    (Chicago's commission is 1100 yen and "margin"
    is greater than Singapore's and about the same as Osaka's, although the contract,
    like Singapore's, is one-half the size of Osaka's.)
    (One could synthesize an equivalent to the Singapore
    contract on the Osaka exchange by trading five Osaka minis, but the
    commission would be more than twice as much (1500 vs. 600 yen).
    However, the slightly lower "margin" on five minis and, perhaps,
    greater liquidity at Osaka may be advantageous) Decisions, decisions.

    My broker is IB, and all the numbers come from their website.
    So far, I've paper-traded the yen-denominated Singapore and
    Chicago contracts with good results. In January, I'll subscribe
    to the Osaka data for at least one month, so that I can compare
    volume/price with that of the Singapore exchange. Hopefully, I'll also find
    a Nikkei 225 cash ticker, because I am concerned about whether
    and how well the futures track the underlying.

    Any comments/suggestions?

    I hope that everyone enjoys the holidays and has a profitable 2007.
     
  2. doli

    doli

    What about commission arbitrage?

    Could someone offer Osaka mini traders a commission of 250 yen? Money might be made by bundling five Osaka mini trades into one Singapore trade. Gross on each bundle would be 1250 yen with a net of 650 yen, considering the 600 yen commission in Singapore.
     
  3. Billf2

    Billf2

    I last traded the Nikkei 225 out of SGX on the then open outcry floor traded futures pit via a broker in Mar 2002. Now I've returned and hasn't it changed - I'm doing a 30 day trial of esignal premier & Marketdelta for my market profile plots and directly onto the Osaka exchange. Stunning stuff.

    Mind you the cost of commissions has plummeted and your analysis of the commission/ ba spread is most illuminating. Like you once my paper trading is finished I suspect that I'll be trading the 1/2 contract on the SGX through IB. The out of hours on the SGX back in 2002 was pretty useless (no lead from Osaka) but I'll check it out.

    Bill...
     
  4. hi, what do you know if topix and n225 pair gives you a lower margin.
    like long topix and short n225
     
  5. You're overstating the effective commission for the small osaka contract .... the real "spread" isnt 5 points or 10 points, thats just the minimum move, so doing a divide by 5 for the small and by 10 for the big is "wrong."

    A better commission comparison might be relative to daily range in which case I think ur numbers for the two smaller contracts are halved (at the moment you penalise them because the big contract has "worse" granularity than the two smaller contracts).

    > 10%
    > 30%
    > 12.5%
     
  6. Billf2

    Billf2

    Some interesting history:

    "The Singapore International Monetary Exchange (SIMEX) started Nikkei 225 futures trading in 1986, two

    years earlier than the Osaka Stock Exchange (OSE). Because of its lower trading costs and less strict

    trading rules, SIMEX's Nikkei 225 futures attract many investors (even from Japan) and, on some

    occasions SIMEX trading affects the OSE market. Japanese investors must thus carefully monitor

    SIMEX Nikkei 225 futures."

    Source:

    Bill...
     
  7. doli

    doli

    Lately the yen/usd has been creeping up -- about 120.5/1. That can be a concern, because at some point I want to repatriate my profits. The dollar denominated contract doesn't appear to have much volume. The Singapore contract isn't fungible with the Chicago contract on IB -- don't know why -- am not inclined to hold overnight, anyway. Recently there was an earthquake that cut some undersea cables; I didn't see any effect on the Singapore exchange, but may not have been watching it at the time. Sometime during the last few years, an earthquake in Japan dropped the market. Haven't subscribed to the Osaka data yet -- was busy in early January, so will wait until February.
     
  8. Billf2

    Billf2

    I'm looking for a source of free or inexpensive Nikkei tick (1 min) data (who isn't !!) for import into a database thence spreadsheet for some pre trading analysis.

    I know one - Duksacopy but their Nikkei data is only eod.

    Any suggestions

    Bill...
     
  9. rickty

    rickty

    Bill,

    Check out:

    http://disktrading.is99.com/disktrading/

    Richard


     
  10. any one ?
     
    #10     Jan 16, 2007