ES calender spreads

Overnight said:
That's how the ES used to look some years ago, with most days ranging 2-4 points (8-16 ticks). It is hideous PA, which is why you need to trade it with size.
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Agreed, but isn't a couple of points/day scalable if trading intraday? I mean if I can consistently bag 2 points daily? Or do you think there is more slippage in spreads like this? Unlike outright, this PA stays within a tight range and so isn't it easy to trade off of highs and lows? Please correct me if I'm wrong. But this seems too good to be true. I'm suspecting that execution isn't as predictable as what this TV chat shows due to slippage and poor fills / non-implied exchange spreads?
 
Sanfrancisco76 said:
Agreed, but isn't a couple of points/day scalable if trading intraday? I mean if I can consistently bag 2 points daily? Or do you think there is more slippage in spreads like this? Unlike outright, this PA stays within a tight range and so isn't it easy to trade off of highs and lows? Please correct me if I'm wrong. But this seems too good to be true. I'm suspecting that execution isn't as predictable as what this TV chat shows due to slippage and poor fills / non-implied exchange spreads?
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I couldn't tell you that as I've never seen a live ladder/T&S of any of them. You'll have to gauge that for yourself on your charts during a typical day. If that volume shown is daily, it's good. If that is for the whole range, it's not so good, but should be easily doable with double-digit lots. Of course, with such low volume you're going to want limit orders only and be willing to accept partial fills.
 
Volume in the june contract is extremely low as we speak, so i doubt you could do much scaling without big slippage.
 
p0box4 said:
Volume in the june contract is extremely low as we speak, so i doubt you could do much scaling without big slippage.
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got it. I also found single digit volume for ES june contract in ToS. I'm not sure which volume TV is showing. So I guess equity calendar spreads is not a viable strategy given low volume on the back month.

Do you have any thoughts on MES-MNQ spread? I guess there would be a lot more contracts involved to even out the directional risk 5*MNQ-2*MES = 7 contracts adding upto a lot of commisions but there would be volume since both are front months. Any other popular spreads that you suggest for beginners that dont have slippage/liquidity problems? Thanks!
 
Sanfrancisco76 said:
got it. I also found single digit volume for ES june contract in ToS. I'm not sure which volume TV is showing. So I guess equity calendar spreads is not a viable strategy given low volume on the back month.

Do you have any thoughts on MES-MNQ spread? I guess there would be a lot more contracts involved to even out the directional risk 5*MNQ-2*MES = 7 contracts adding upto a lot of commisions but there would be volume since both are front months. Any other popular spreads that you suggest for beginners that dont have slippage/liquidity problems? Thanks!
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I don't have much experience trading spreads so i think others might be better suited to give you advice.

You can also find some information and explanations on the CME website.
 
Sanfrancisco76 said:
got it. I also found single digit volume for ES june contract in ToS. I'm not sure which volume TV is showing. So I guess equity calendar spreads is not a viable strategy given low volume on the back month.

Do you have any thoughts on MES-MNQ spread? I guess there would be a lot more contracts involved to even out the directional risk 5*MNQ-2*MES = 7 contracts adding upto a lot of commisions but there would be volume since both are front months. Any other popular spreads that you suggest for beginners that dont have slippage/liquidity problems? Thanks!
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You can clearly see how wide the spread is (4 ticks or 1 point) in this ES June contract.

upload_2024-1-9_12-51-59.png
 
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