I'm having challenges finding daily volume (liquidity) on OneChicago, for listed Single Stock Futures contracts. It seems like 99% of the stocks I've seen have '0' volume. I think the largest volume I've seen for one market for a particular day was 3700. Am probably just missing something. I trade commodity futures and understand the volume and how it works. I'm excited about 100+ markets that I can hypothetically trade like futures based on margin. From what I've observed, leveraged stock futures with 'liquidity' is down the road a few months or years. 3700 volume for a specific day seems incredibly thin for trading intraday or two day swing trading. I would appreciate any information in regards to the most liquid SSF's that are traded everyday, (if there is such a thing right now). I keep finding articles about new companies offering SSF's, but wheres the volume? Does it have anything to do with the stock volume itself? For example, if Microsoft's total volume today was 10 million, does this 10 million have any relation to the Microsoft Single Stock futures contract volume, or is it a separate. I'm basically looking for more futures markets to trade above and beyond the 50 to 60 that commodities represent.
one chicago is an et sponsor, the guys name is Downey I think. maybe someone can post a link to the one chicago threads.
I don't think that page link you provided is right perhaps? I know its onechicago's website, and I know SSFs are thin, but pretty sure there is SOME volume there. OCC says they traded 3199 contracts yesterday. http://www.theocc.com/market/vol_data/main/exchange_volume.jsp
I appreciate the help. I went to onechicago and OCC. I did'nt find anything there. Is there a list somewhere that shows a number of SSF's that had trading volume of 10,000+ for the day. An example would be Intel SSF having 10,000 volume for May 8th 2008. Of the hundreds of SSF's offered, do any have this kind of volume daily? If not, is this the same market condition similar to thinly traded commodity markets like Palladium for example, as opposed to July Corn which had 250,000 volume for the day. (This is just a guess)
On the OneChicago website under the Market Data tab you will find a "Price Volume and Open Interest" link. Here is the direct link: http://www.onechicago.com/?page_id=10 There is also a link to "products.csv" which will be the same info but in a spreadsheet format. These are generally populated at 7am CDT on T+1. You are correct when you see low volume. The problem is that very few people know much about the product. In fact there are only a few firms that let customers have access to SSF. The reason is that the product competes directly with the way brokerages make money....ie. Financing and Stock loan. I have expounded on this in another thread so I won't bore everyone again. But I would like to address the liquidity issue. There is plenty of liquidity as we use an Lead Market Maker system where there are two sided markets in the vast majority of the SSF that we list. The first rule of derivatives is that the market for the derivative is as deep and liquid as the market for the underlying due to the arbitrage profits that will be made by the market makers. We just had a customer who came in and put on 120,000 contracts one day and nearly 60,000 the next. Since the multiplier for the SSF is 100 that equates to 18 million shares of stock. Today a 3000 lot EFP in Dec Microsoft went up in two trades representing 300K shares of stock. If you see markets that are too wide then compete and bid/offer in between. The market makers have 'listening' devices that know your bid/offer is there and as long as it's not way out of line you have a chance of getting hit. Remember that the price of the SSF is contingent on the price of the stock. As the stock moves so does the future. In lockstep. One word of caution...futures entail many risks and should be traded only after you do your homework and understand the implications of leverage and delivery. In addition don't forget the main purpose for SSF is the ability to lower your costs of financing your equity positions vis-a-vis a margin account where you will pay a high rate of interest on the margin loan. Since the SSF has a competitive interest rate built in you will essentially be participating at the same competitive rate as the professional traders. We have produced a Calculator that is available on our website www.onechicago.com that compares the costs and income streams from trading stocks and the SSF. The output displays the common element to both position and that is Interest Rates. Plug in the rates that your firm offers you and see for yourself what the better value for you is. Perhaps buying stock is a better deal. Sometimes it is. But more often trading SSF will save you money. Especially when selling short. Best
You say you're looking for more futures contracts to trade, and you're looking at SSFs, which implies that trading the raw underlying equities is unacceptable to you. The only reason that makes sense off the top of my head for trading futures instead of equities seems to be taxes, and I recall reading somewhere that SSFs are taxed as stocks, not futures. This may be incorrect, so check it out for yourself, but if taxes are the reason you only want to touch futures, do your homework.
The higher leverage of SSF's to the raw stock was the deciding factor. I never thought about it from a tax point of view, so you may be right, it could have a better taxation guideline/s.
NYOB is absolutely correct that SSF are not given Sec. 1256 Tax treatment. Instead everything is short term capital gains. 20% margin vs Reg T allows more leverage but that is a double edged sword so be very, very careful. In addition buying stocks uses up capital which becomes non-performing while you hold your position (except of course if the position moves your way) while the performance bond (futures margin) on the SSF can be satisfied with a T-Bill which means your assets are still working for you. NYOB's other point is even more valid. Do your homework. It is an investment in yourself. Best