actually not completely true fifty is consistently profitable and is all on the right but you'd be surprised how close to 50/50 it is. you can't buy a 1y 50 and get the desired results so although the decay is not pathlength like a normal (where you would not except to win as 50) it still costs you to carry. note: 50 is currently short 'vol' (which we will define analaguously here as the pathlength of the vix) which he would not have been if it was a normal insurance contract.
'no he's not he can hedge me that gamma and he wins because of vol and that' 'im afraid not sunshine because he has to hedge you that gamma at 28 but its expiring 50'
Wow, that's what I was exactly looking for "trdes"....thanks for that ! Somehow, the CME is maintaining parity between ES/MES and NQ/MNQ. My thinking is they have hired some arbitratures to keep the MES book in line with the ES book. Thoughts on that speculation ? Otherwise, how else could they do it ?
I understand what you're saying and asking, but I don't have the knowledge or brain power to to really give a comprehensive or even good answer, maybe someone else can jump in and help us out. All I really had was just explaining what I've seen from countless of hours of watching both real time. Sometimes NQ will make a new high and MNQ wont or vice-versa. Not something that I can say happens very often though and is generally only by a tick or two. Any other temporary price separation seems to just be MNQ gapping around to match up with NQ. I was observing someone trading and they got filled on 650 Micro Mini NQ's but it did not seem as if there would be enough volume or liquidity to fill them all right there instantly but it certainly did. Almost as if there's a middle man willing to make up the difference, maybe that's what you meant by "hiring arbitrators". Obviously by my last paragraph you can tell I am pretty uneducated on how that would work, so again would appreciate someone playing clean up so we can get a better understanding.
They don't have to hire anyone. The prospect of an arb brings all the boys to the yard As for the half point disparity someone referenced earlier....I'm willing to bet half an ES point that was on last trade, not bbo
Dude, I respect your opinion, but could they trust "all of the boys" ? I think not. They had set-up agreements with arb firms to make this happen IMHO. But either way, the price differential is neglible IMHO. Bottomline: Somehow the CME is making MES/ES, MNQ/NQ Time and Sales price differences somewhat negligible. The issue is how are they doing this ? That's their "secret sauce".
Again, they don't have to. They are cash settled futures on the same underlying. Effecient(ish) markets keep them moving in lock step. And if it didn't, it wouldn't hurt cme at all.
Yes, but we are talking about 2 separate order books. To make the two separate contracts identical requires a way to keep both order books in-sync. This takes arbitrage....someone needs to be selling when one contract's price gets above another and vise-versa.
Why do these questions come up now, when the GC has had the micro and the FX futures have had the micro versions for years? It is as if this micro thing is new to the universe?