why int rate futures have long queues

Discussion in 'Trading' started by 0008, May 18, 2004.

  1. 0008


    All interest rate futures e.g. zn, zf, gbm, gbl have long queues on both bid and ask. But the queues of indices e.g. nq, es, dax and estx50 are much shorter. Does anyone know the reason behind it? Was it the same when they were trading open outcry?
  2. Aaron


    The size on the bid or offer is all a function of contract volume and tick size relative to daily range. If a lot of people want to trade a lot of contracts and they are limited to a few different prices, you'll get big size on the bid and offer.

    For the ZB, for example, the average daily range is probably around a point. That's 32 different prices for people to execute their trades at. For the DAX, the average daily range is, probably, 50 points. With a .50 tick size, that's 100 different prices for people to execute their trades at throughout the day. And with the smaller volume in the Dax, the Dax has smaller size on the bid and offer.

    I appreciate that EurexUS offers a smaller tick size for US interest rate products. Too bad there's not more liquidity there.
  3. 0008


    I think you are right. The GBS is the best example. But the ES sometimes also has very big vol but the bid/ask sizes are not that big.