e-mini dangers

voodoo_invest · Apr 10, 2002

As I said, you can figure out the ndx bid and ask (by using not the last price but the last bid/ask update of each second) and compare that to the nq bid/ask (which is what I did.) The only way you can make this more exact is by going sub-second, don't know of any data providers that have time stamps in milliseconds.

None of this is that important. I did this to see if knowing the difference between the ndx and nq could tell me something about where both are going, and couldn't really find anything usefull (might have missed something of course.)

And of course if you are watching the NDX ticker distributed by NASDAQ, then yes the nq will lead that, as that is calculated only once every 15 seconds (or is it 10?)

Voodoo

stevet · Apr 10, 2002

voodoo_invest

regardless of delays in the cash indicie or the futures, ( which is also delayed as it is traded in the pit, so therefore there is a delay from the pit to the data distribution), or whether the cash is arbitraged to the big or mini, or whether the mini is arbitraged to the big, or whether the moon is full of not - the futures lead the cash

DblArrow · Apr 10, 2002

Does it really make a difference what leads what?

metooxx · Apr 10, 2002

easyrider · Apr 10, 2002

If you know which one is which, of course it does.

stevet · Apr 10, 2002

DblArrow

i dont think it would make a difference to world poverty- but it would cetainly have an impact on me getting a porsche or not!

Don Bright · Apr 10, 2002

Originally posted by qwiktrade
i think its of little use to try and determine if the cash leads the futures.. much of the futures movement is caused by arbitrage between the underlying stocks and the qqq and the nq... since the cash is made up of the last trade of the individual index components, its not possible to tell what the exact market (price one could actually buy or sell) would be for that stock.. and so it would not be possible to know if the futures are leaning on the cash or if the cash is leaning on the futures.. although i have some ideas in the works to examine this relationship in more detail, i think its better to use the Dow, ES and some of the major index components in addition to the cash for finding direction..

-qwik

I have to agree here....we teach to have the spot and the futures numbers right next to each other so you can see which is leading. If the spot price is leading, then there is something happening in the underlying stocks (i.e. IBM or INTC the other day), which is important when you have a "weighted basket" to use for your futures "pre indicator"...

If the futures are leading the spot (which is more common), then you are more likely to read the next few seconds movements correctly.

nkhoi · Apr 10, 2002

Originally posted by stevet
the futures lead the cash

I might habor a thought of "cash lead future" sometime but all successful trade I know agree on "future lead cash". So future lead cash it is.

stevet · Apr 10, 2002

don

i guess you are looking at it from a stocks perspective - which may make sense - although i dont know, as i have not traded stocks

but it is an important point to understand that futures - as you yourself say - mostly lead the cash - regardless they are always trying to move the cash and thats what causes the cash arbitrage

Don Bright · Apr 10, 2002

Originally posted by stevet
don

i guess you are looking at it from a stocks perspective - which may make sense - although i dont know, as i have not traded stocks

but it is an important point to understand that futures - as you yourself say - mostly lead the cash - regardless they are always trying to move the cash and thats what causes the cash arbitrage

Yes, the futures do lead the cash (spot) most of the time.

Looking at it from a futures trader in the pit standpoint, it makes sense this way. When we can buy futures under fair value, great, and hopefully sell tham back....but if we cannot, then be "hedge" them with stock baskets (or the whole S&P 500 if need by). The initial momentum is usually coming from the institutions who are "leaning" on their own internal orders, or creating "inventory" for their customers.

When a firm gets a large stock order from an insitutional customer, they will often buy futures in anticipation of having to buy and provide the shares for that customer, and then simply sell the futures back (most likely with a profit).

This type of activity is ongoing during the trading day, but is more prevalent right at the opening of the market.