Best market to buy and sell at the same price (to churn commissions)

C

chinook

Hi all,

I have an 'indecent' question :) I am looking for the best market that I can buy and sell at the exact same price for 5-6 contracts. I am not trying to make any money off of this. I need to trade a min. # of contracts per month otherwise my broker will charge a set fee.

I am thinking about the Eurodollar futures (ED, interest rate not FX futures). One tick is $10 (if I need to get out with 1 tick loss), there's plenty of liquidity and it moves relatively slowly.

So basically I am thinking that, I'll wait until best ask size gets much smaller and then buy at that ask price. Hopefully, all of the ask size will be taken at that price and bids at the price I bought will start showing up. Then I'll sell to those bids. I'll reverse this if initially best bid size gets much smaller...

Again I am trying to make this as much as risk free as possible and I am definitely not trying to scalp 1-2 ticks.

Suggestions welcome...

Thanks.
 
Firstly, Eurodollars are actually $12.5 per tick. Secondly, yes, if you play with the front contract, it is definitely extremely liquid. As to it moving slowly, it might be true right now, with the Fed firmly on hold and liquidity extremely ample. This state of affairs may not persist forever, so you have to be careful. Basically, it's very slow-moving, until it suddenly ain't.

If you want properly slow moving stuff (albeit less liquid than ED), try the monthly CBOT FedFunds contract. Once the FOMC meeting is out of the way, that contract is likely to be very sedate and there's even less risk of anything violent happening (not that it can't happen, just that the probability is very low).
 
Quote from Martinghoul:

Firstly, Eurodollars are actually $12.5 per tick. Secondly, yes, if you play with the front contract, it is definitely extremely liquid. As to it moving slowly, it might be true right now, with the Fed firmly on hold and liquidity extremely ample. This state of affairs may not persist forever, so you have to be careful. Basically, it's very slow-moving, until it suddenly ain't.

If you want properly slow moving stuff (albeit less liquid than ED), try the monthly CBOT FedFunds contract. Once the FOMC meeting is out of the way, that contract is likely to be very sedate and there's even less risk of anything violent happening (not that it can't happen, just that the probability is very low).
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Thank you Martinghoul for the suggestions. Though, I need some movement so I can sell/buy at the same price. I'll check that contract out.

Thanks.
 
Quote from increasenow:
the front month is $6.25 per tick
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I forgot about that. I stand corrected.
Quote from chinook:

What is the front month now? I am looking at EDM11 and the tick increments are 0.005 ($12.5).
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It appears that they include the serial (monthly) contracts in their description. So the current front contract that's trading in 0.25bp increments is actually the Apr one, i.e. EDJ11.
 
Quote from Martinghoul:

I forgot about that. I stand corrected.

It appears that they include the serial (monthly) contracts in their description. So the current front contract that's trading in 0.25bp increments is actually the Apr one, i.e. EDJ11.
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Thanks! It looks like liquidity is pretty low in the front month. I have to take a look at it during regular hours. I think I am back to $12.5 per tick.
 
Quote from chinook:
Thanks! It looks like liquidity is pretty low in the front month. I have to take a look at it during regular hours. I think I am back to $12.5 per tick.
More...
Liquidity is significantly lower in the serial contracts than it is in the quarterlies, that's fer sure.
 
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