bond futures

However what you are quoting is not normal pit volume is it? I went to the CME site and check and most days the pit does no where near that kind of volume and the emini has been by far surpassing the volume of the pit traded contract. For instance pit might trade 130K and the emini will trade 850K.

However I have no idea how much of it is arb and how much is other volume. I am guessing more and more is non arb volume since the emini volume consistently increases.

Quote from Maverick74:



They don't. The pit does about 250k contracts a day. That is the equivalent of 1.2 million minis's alone. Plus you have to figure that half those guys are arbing the mini with the pit contract. So that leaves about 300k mini's a day which originate outside the pit. So no, I would say that no prop firm or group of prop firms dominate the screen on the mini's. Pretty silly actually if you think about it.
More...
 
Quote from downtickboy:

However what you are quoting is not normal pit volume is it? I went to the CME site and check and most days the pit does no where near that kind of volume and the emini has been by far surpassing the volume of the pit traded contract. For instance pit might trade 130K and the emini will trade 850K.

However I have no idea how much of it is arb and how much is other volume. I am guessing more and more is non arb volume since the emini volume consistently increases.
More...

It varies. The normal busy volume in the pit is about 250k or so. During slow periods I have seen it down to 125k to 150k. But remember that its 5 to 1. So 200k in the pit is like 1 million mini's. And like I said before, the arb is huge in that pit, everyone does it. Very few guys in that pit take the other side of a trade and hold it. I would say at least 50% of the mini volume is coming from the arb in the pit.
 
Quote from Maverick74:



It varies. The normal busy volume in the pit is about 250k or so. During slow periods I have seen it down to 125k to 150k. But remember that its 5 to 1. So 200k in the pit is like 1 million mini's. And like I said before, the arb is huge in that pit, everyone does it. Very few guys in that pit take the other side of a trade and hold it. I would say at least 50% of the mini volume is coming from the arb in the pit.
More...

Pit volume is dropping that is all there is to that. You cannot convert it to the emini and thus the volume was bigger. Contracts are contracts regardless of the size.

As the pit was here first why are we not thinking like - todays volume on the emini was only like 12505.22 big contracts. Pretty poor volume for much of anything.

Make 'em pretty, Chris

Oh buy the way 1 dog yr is one dog yr!!:D
 
Quote from DblArrow:



Pit volume is dropping that is all there is to that. You cannot convert it to the emini and thus the volume was bigger. Contracts are contracts regardless of the size.

As the pit was here first why are we not thinking like - todays volume on the emini was only like 12505.22 big contracts. Pretty poor volume for much of anything.

Make 'em pretty, Chris

Oh buy the way 1 dog yr is one dog yr!!:D
More...

What? I didn't understand any of that. All I am trying to explain is that the sp contract is not controlled by anybody. Most of the institutional order flow is through the pit and thats gets arbed out through the mini's. If prop firms want to daytrade mini's and they trade 50 or 100 lots in and out that is fine but that is not going to move the pit. A 100 lot in the minis is only a 20 lot in the pit. And a contract is not a contract. The dollar value is more important then number of contracts. Why would someone want to pay 5 times the commision to execute 5 mini's instead of one big contract. Yes the volume in the pit is getting less. The spoos in the pit use to do 500k a day and now do about 200k a day. So yes that is less. However they still consistently do more dollars in the pit then on the screen except when the market volatility is low and the mkt gets quiet then the pit dries up and the screen gets more business.
 
I got this off the CME website and it is the volume from Jan-May 2003.

jan-may 2003 Jan- may 2002

e mini 68,400,911 30,607,271

SP 8,358,310 8,444,951


It seems over the month the dollar value traded is larger in the Emini now. What is interesting is that the volume in the emini doubled while the big contract stayed about the same. Seems that there are a lot more traders going to the emini now for liquidity then the pit. I can't imagine joe schmo at home accounts for the dramatic volume increase. However I guess this is off topic somewhat on a thread about bond futures. I would guess the same process though has occured in the bonds too.
 
or CTA is cleaning up tonight in the bond futures

about 12 ticks on 1000 plus contracts

if my time and sales block prints are accurate
 
or Spoos Squawk ?

I always thought the e mini's lead the play by play call

in the pit for the spoos

the advantage I guess for using the squawk

is in order flow , size , dealers vs locals etc

this info you cannot get from e mini prices
 
Maverick,

I wish you knew what you were talking about. You seem like you are so sure of yourself and I don't get that.

Risk Less


Quote from Maverick74:



They don't. The pit does about 250k contracts a day. That is the equivalent of 1.2 million minis's alone. Plus you have to figure that half those guys are arbing the mini with the pit contract. So that leaves about 300k mini's a day which originate outside the pit. So no, I would say that no prop firm or group of prop firms dominate the screen on the mini's. Pretty silly actually if you think about it.
More...
 
Quote from DblArrow:



Hello Bond Trader,

You asked the same thing some time back and I showed you what I did, but still waiting on the other 1/2 of the compare idea.

Make 'em pretty, Chris
More...


????

I pm'd you a long time ago and responded in kind. Haven't posted on ET for a while because things have been kinda dull. If you can't find my response pm me and I'll send it again.

BT
 
You must log in or register to reply here.
Back
Top