Anybody know where I can find the Emini S&P daily volume? I checked the CME website and I can't find anything.
Emini S&P daily volume
- Thread starter glenjohnson
- Start date
Thank you. Says that emini S&P 500 trades 1032K daily(yesterday). I'm guessing that is one million contracts. I thought they were up to 5 million contracts a day. I thought I read that a few months back.
I haven't ever seen a daily volume as high as 5,000,000 for just the E-mini
S&P 500. That number sounds closer to average daily volume for the CME across
all contracts.
1,032,000 is a bit below average for ES,though. It's growing rapidly
year over year. Brief summary is given here, for the lucky (smart) investors
http://investor.cme.com/ReleaseDetail.cfm?ReleaseID=212950
Good Trading!
S&P 500. That number sounds closer to average daily volume for the CME across
all contracts.
1,032,000 is a bit below average for ES,though. It's growing rapidly
year over year. Brief summary is given here, for the lucky (smart) investors
http://investor.cme.com/ReleaseDetail.cfm?ReleaseID=212950
Good Trading!
They show open interest at the same link as above, the one with the daily
settlement prices. The open interest is one day delayed, so to get the
turnover ratio you'ld want to compare the change in open interest from one day
to the next with the first day's volume figures.
That gives you an idea how much of the volume comes from positions that are
closed and opened the same day, versus how many result in new net longs and
shorts.
You may want to rethink what you have stated by considering two factors:
1. This is a financial instrument with a purpose.
2. This instrument is traded by people to make money.
I am in category 2 and I am in the market continually and always on the right side of the market. This implies that I take many actions a day.
For the ES, I look at four ranges of volume to determine the market pace.
I also annotate the the volume formations and patterns to know the rate at which I can take money out of the market. This medium frequency assessment leads me to the turning points of price where the nuances of volume and potential allow me to have a vernier for the actions I take to collect profit segments and asur that I am on the right side of he market.
There are ten significant potential volume levels to consider at any particular moment and these are in addition the the actual volume, it's rate of change of time and its rate of acceleration or deceleration.
Of the major two variable of the market, volume is the most informing for making money.
Conventionally most people watch price and bet on it.
Eliminating betting comes as a consequence of considering volume as a market variable.
Examine quants and find how failure to examine volume seriously truncates quant strategies.