What happened to ES liquidity

Discussion in 'Index Futures' started by K.C., Feb 25, 2004.

  1. K.C.


    Seems to me it's disappearing, except couple spikes a day caused by robots.
  2. Pabst


    For me to say I'm sick of trading would be like Calista Flockhart saying she's tired of sticking her finger down her throat in the women's room of West Hollywood night spots. But at some point both Calista and myself will get tired of puking everything we eat.
  3. The following chart shows the weekly net traded value of ES (red) vs SP (yellow) in US$. As you can see, ES-liquidity is near its all-time-high.

  4. Maybe traders moved on to YM ... :D
  5. K.C.


    I am pretty sure overall liquidity is down compared to what it was last year. Beside that increasingly larger portion of liquidity is done by robots in couple of spikes a day and the rest of the day is significantly down than what it used to be.
  6. Volume and liquidity is not the same thing.

    Volume can go up and liquidity down at the same time.
  7. Do you mean volatility or point range instead of liquidity?
  8. I agree KC. I keep a 10MA of volume on a 1min chart and as a general rule, I won't initiate a trade if the MA is below 1000. This keeps me out of a lot of low volume chop.

    A year ago, it was normal for the MA to be below 1000 during lunchtime, but rare that it was below 1000 during the morning and afternoon sessions (9:30-11:30 and 2:00-4:00 EST). During the last 6 months or so, it has gradually changed to the point where the MA is below 1000 most of the day, with volume spikes (program trading?)shooting it above 1000, only to fall back below shortly after. There is much less sustained volume throughout the day now, even if the overall volume has increased.

  9. Liquidity= Avg. Point range * Volume

    Thats the way I look at it.

  10. Last year's Volume, Liquidity, Volatility, why cry about it? Works very well without. Next year will be different again.

    #10     Feb 25, 2004