trading among the indexes

i have a question for those of you who trade es, nq, and ym. what lot size do you use when trading these 3 instuments, if you are trying to weigh your portfolio equally, taking into consideration their tick size, point value, and volatility. i know the es' range is the smallest, and ym is biggest, so how would you eqate the contract size you trade? (example: 1es=2ym)

 

I was curious...would you be using these instruments as a basket trade, spread trade...or to hedge with?

Michael B.

 

I keep daily data on the three contracts. A 1 point change in the ES Emini is $50 and a 10 point change in the YM Emini is $50.

Since 11/17/03, the march ES Emini has averaged a daily range of 10 points, which is equivalent to $500 per contract. The march YM Emini has averaged a daily range of 88 points, which is equivalent to $440. On a dollar basis, the two contracts are pretty close to equivalent in daily range moves.

In other words, when the ES emini moves 1 point, on average, the YM emini will move 8.8 points.

Charles

 

thanks for your response, this was exactly what i was trying to get at. where can i get the data to keep track of these ranges...
(curious, what's the nq's daily range average?)

 

The NQ is one strange beast.

Look and you will see what I mean.

nitro

 

I should note that my data is based on the 0930 ET Open and the 1600 ET close. I base my daily trading decisions on this time frame, since it is the time frame that I normally trade.

I get my data from Tradestation. Esignal can also be used or any realtime data supplier. If you do not have an account with a realtime data supplier, you can get data from the exchanges:

http://www.cme.com/dta/hist/daily_settlement_prices.html?type=idx

http://www.cbot.com/cbot/pub/page/0,3181,778,00.html

The March NQ contract has had a historical average daily range of about 24 points since 11/17/04.

Charles

 

The date on the last post should be 11/17/03.

You can also get futures contract data from Chartbook.com. If place your mouse on a bar in the chart, you will get the open, high, low and close for that day in the title bar above the chart.

http://www.chartbook.com/charts/?sy...C&action=openChart&market=futures&ind_reload=

Charles

 

But of course that would be for the times 15:30-15:15 CST

Michael B.

 

I made no statistical calculations, but from days and days of watching and actively trading these contracts, I can say that in general they make more or less equal moves in $ amount (e.g. if ES moves 1 pt., then YM moves 10 pts.). However, favor the strong contract if you're long and the weak contract if you're short (e.g. if nasdaq is weak today, short the NQ and not the ES, it will move more). When all other things equal, ES tends to move a bit more many times.

Also try looking into the ER2 (russell 2k). The volatility is awesome, the moves are much larger. You'll have to reduce lot size because it really moves more. Movements are smooth, with the occasional mad spikes, but usually you can backfill your way out of them (if you have the nerve for it..)

 

Thanks for the addition. Bob and cathy should have the stats on this one.

the next five years will fill in a lot of others too. By then everyone will do FA's on them for running intraday trading as a portfolio with diversified risk.