Discussion in 'Financial Futures' started by blb078, Sep 27, 2003.

  1. blb078


    how are ssf's now is the volume in them picking up at all, are the spreads a little better, i'm looking to swing trade some, and i'm just trying to get an idea as to how they are trading.
  2. Volume is very light. I have traded SSF's on MSFT, XOM and AMZN. However, swing trade should be ok. You can always get filled at selling the bid and buying the ask.
  3. blb078


    any chance of getting filled between the spread? obviously buying on the bid will be impossible because of the low vol. how big are the spreads on them?
  4. It varies. Usually it's near 10 cents.
  5. I have tried to trade SSF for a while mostly on OneChicago and here are my observations for you:

    - the fills are fast and reliable, the bids and asks are real, the market markers will provide enough liquidity for you to get a fill on any lot size. So volume is not an issue.

    - the spread is huge (about 7-9c even on futures with a low price) and many times the SSFs move in a very awkward way. More than once for example, the DIA stock has moved 15c while the DIA SSF has moved 2c. the spreads will simply kill you, intraday trading profitably is extremely difficult and your edge is vastly diminished.

    - you cannot split the spread, sell into the buyers etc., since there is hardly any activity even on the most active SSFs. You can always buy at the ask and sell at the bid (to/from the MMs) and that's all you can do. Add that to the huge spread, and a 50c scalp on the underlying can easily turn into 20c profit on the ssf. for swing trading it should matter less.

    Good trading
  6. def

    def Sponsor

    wouldn't this be an opportunity ?

  7. I wouldn't trust it to be an arb opportunity, i tend to think the MMs know what they are doing.. within "legal" limits, they'll move the spreads and the ssf exactly in their favor on your expense. I don't even blame them for it, that's how they make a living when they make a market.

    I believe you agree with me that there are by far more reliable opportunities in the market... it pays off more to try to take money from the crowd rather than from the MMs...

  8. def

    def Sponsor

    yes and no. some market makers will move things around to avoid trades or gain an extra tick or two. however, others will just move prices in accordance to their position or any other number of factors. For example, what if the firm showing the "lagging" price happened to do a size trade in the futures or options in the same contract and just wants to get a hedge off, what if they have a ton of (or are are very short) gamma, what if the MM is just plain wrong? Market maker's edge is the spread but that doesn't mean that the both sides of the spread are bad prices. I'm not saying you should actively look to trade with MM's but I would say that you should have no fear of trading on a MM's price when you are confident in what you are doing.
  9. I hear you.. what I was meaning to say by "trade the crowd" is that I am a chart pattern trader. That's why I trade the eminis, so to keep it as "pure" as possible. That's me anyway..

  10. def

    def Sponsor

    OneChicago today announced record volume of 247,699 contracts in the month
    of September. This eclipsed the Exchange's previous record set in June of
    218,730 contracts. Click here to read the full announcement:

    In September, 18 different OneChicago products traded more than 5,000
    contracts (equivalent to half a million shares of the underlying
    security). These 18 single stock futures represent a diverse array of
    industry groups in both "old economy" and "new economy" stocks:

    Applied Materials (AMAT1C) 6,621 contracts
    Check Point Software (CHKP1C) 5,860
    Cisco Systems (CSCO1C) 8,540
    Dell Computer (DELL1C) 5,315
    DIAMONDS Trust (DIA1C) 7,913
    Walt Disney (DIS1C) 6,307
    DOW Chemical (DOW1C) 6,229
    General Electric (GE1C) 7,420
    Halliburton (HAL1C) 5,620
    Hewlett-Packard (HPQ1C) 5,633
    Merck (MRK1C) 5,233
    Microsoft (MSFT1C) 7,529
    Nokia (NOK1C) 7,075
    Starbucks (SBUX1C) 7,493
    Texas Instruments (TXN1C) 5,742
    Tyco International (TYC1C) 6,369
    Xilinx (XLNX1C) 5,091
    Exxon Mobil (XOM1C) 7,812

    Click here to download the Exchange's complete monthly volume report for

    Please let us know how we can assist you in taking advantage of the
    liquidity in OneChicago's markets.

    OneChicago: The Exchange for Single Stock Futures(sm)
    Copyright (c)2003 OneChicago, LLC
    #10     Oct 1, 2003