Hello, I am spread trading indexes futures as well( really great since volatility increased ... ), but I can't figure out how you manage to spread ER2 / ES??? ES tick is too big to let some profits available to me, or perhaps on a very fast TF but it would be more like pure arb...or are you on a really LT time frame??? Profits must be very thin on this spread.
Um.. what's long TF? If 1 - 3 day is long TF, then yes. It might be possible to "scalp" spreads, but it's beyond me. I know my limitations. This is NOT arb. Not even close. And the profit (AND loss) potential is anything but thin. You actually couldn't have asked this question on a better day to prove the point. Let's see what happened today: Say, you established position yesterday @ close: +1 ER2 @ 758.00 -1 ES @ 1414.00 Basically you are long a smallcap basket worth 758*100 = 75,800 and short a largecap basket worth 1414*50 = 70,700. OK, not a perfect hedge, but close enough. Cover today @ close -1 ER2 @ 774.30 +1 ES @ 1424.75 P&L = (774.30 - 758.00)*100 - (1414.00 - 1424.75)*50 = 2167.50 - commission And all this on one pair of emini. If you were on the wrong side? Well... :eek: Honestly, this is one of the most extraordinarily volatile day I have seen so far as far as the spread is concerned. It just does not happen regularly.
Don't like using e's in any of our type pairs trading. Baskets vs. SPY is done by a very few, and we're not real fans of that either. We like having some confidence in our research of fundamentals. FWIW, Don