The Dax-30 Index Future

Discussion in 'Index Futures' started by Vortex, Jan 18, 2012.

  1. Vortex



    We are a fund wanting to diversify into futures, we are using a systematic trend following approach. It is essential for us to choose only those futures which exhibit very few (if any) gaps between sessions (between days). The EUREX exchange has the severe disability that it does not offer "near-24" trading similar to the US, which is a huge problem for us in Europe.

    We have been doing quite a bit of research on the futures traded on EUREX and it appears as if it is only the DAX-30 which complies with this requirement.

    Is there any reason why the DAX is showing so few gaps as opposed to the SMI future and the EURO STOXX 50, and even the Interest Rate Derivatives? It will be a shame to eliminate all those from our basket. But why is the DAX behaving so well? :confused: :)

    Thank you for your thoughts!
  2. Having watched the DAX and ESTX50 everyday for over 10 years, I can tell you that the gaps on the dax overnight are fairly similar to the gaps on the ESTX50 overnight when measured in percentage terms.

    At present, you have a situation when Germany is stronger than the rest of Europe economically so there could be a little bit of divergence. This could account for what your seeing if you're only looking at recent data but over the long term, the gaps are similar.
  3. Vortex


    Aah, thank you Runningbear, much, much appreciated. I did thought it was a bit fishy - there should really be no difference due the fact the EUREX seem to have the longest non-trading gap of all modern futures exhanges.

    Runningbear, I know this is the EUREX board, but what is your impression on the same issue / question pertaining to the FT-SE 100 future traded on LIFFE? Is it better? It appears to be only closed from 21:00 to 01:00, hence a much shorter time.

    Thanks for the most valuable help. :)