Anything Smaller than an e-mini?

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pistolpt

Looking for a futures contract that follows the S&P 500 (or US market at least) and doesn't give you $100,000 of exposure for 1 contract! S&P e-mini's are just too big now.

The data this specific swing strategy works off of is typically not available until after the market closes. Thus the need for futures - to get exposure after 4pm EST.

Thanks boys. Haven't been here in a while.
 
I read that CME was going to offer an E-Micro ES contract, but that was few years ago and I haven't seen one yet. Perhaps spreading ES options would give you the exposure you are looking for?
 
you can trade CFDs on the ES. They can be traded much smaller than 100,000K but the bid offer spread will be wider.
 
pistolpt said:
Looking for a futures contract that follows the S&P 500 (or US market at least) and doesn't give you $100,000 of exposure for 1 contract! S&P e-mini's are just too big now.

The data this specific swing strategy works off of is typically not available until after the market closes. Thus the need for futures - to get exposure after 4pm EST.

Thanks boys. Haven't been here in a while.
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Try and see if options on ES work for you. You can get anywhere from 5 to 100% of the delta exposure and they do trade after close (not very liquid though).
 
pistolpt said:
Looking for a futures contract that follows the S&P 500 (or US market at least) and doesn't give you $100,000 of exposure for 1 contract! S&P e-mini's are just too big now.

The data this specific swing strategy works off of is typically not available until after the market closes. Thus the need for futures - to get exposure after 4pm EST.

Thanks boys. Haven't been here in a while.
More...
es vs ym is excellent to create a micro ES. There is a wealth of info on the cme website about the spread. You can put it on 1:1 for peanuts, and you can go to sleep spread without fear of black swan.

due to the fact that one ES is worth slightlly more than one YM that gives you a micro ES. And ES is the tightest and YM isn't far behind. You can get very good fills on the ES side and pay for it on YM and come out about even.

It's been a while, but I know just a few short years ago you could put on one ES vs one YM for less than $900.
 
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Even though unlikely it's not like that ES vs YM doesn't have adverse exposure. I don't see how this is emulating a micro contract when its really a bet of one against the other (ie a spread!)
 
i960 said:
Even though unlikely it's not like that ES vs YM doesn't have adverse exposure. I don't see how this is emulating a micro contract when its really a bet of one against the other (ie a spread!)
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it has the same adverse exposure as a micro ES. True, with YM you always run the risk of single stock exposure, especially AAPL, but spread over 30 stocks it doesn't amount to much.

The reason I like it is because it allows small traders to experiment with size.

compute the value of es and subtract the value of ym, that is how much es you are trading
 
Where here's why I'm arguing it isn't the same: ES is not YM just as ES is not NQ and ES is not TF. Regardless of which one has the closest notional value to ES the component weightings and even individual components are different enough among the major indices such that this emulated e-micro ES contract won't hold up during any significant market volatility and even during non-volatile times may expose the trader to hidden divergences.

Here's a chart of 50*ES-5*YM since 2008. There are plenty of times here where if one went short on this spread (e.g. YM-ES) based on the behavior of ES they would have gotten more than they bargained for. I'd go so far to say as trading it during 2008 would be just plain dangerous.

es_ym_spread_0.png



Every red area here is an example of where being long or short ES-YM (based on wanting to be long or short ES, respectively) would have resulted in some significantly different gains/losses than expected:

es_ym_spread_1.png


If you want to trade this spread for *what it is* (strength of DOW components vs S&P500 components), then trade it. However, if you simply don't have enough money to trade ES, don't trade it - trade SPY.
 
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