ES, SPX and SPY weekly option relative intraday liquity ?

A

Aston01

I am aware we are comparing three different types of instrument; with different tick sizes and multipliers.

That being said if you adjusted for the difference in the multiplier between the different instruments how do the three stack up against each other when it comes to accessible liquidity on an intraday time frame for ATM or near ATM strikes?
 
Your trading platform should contain daily volume and open interest for those symbols. For example the ThinkorSwim platform, which I use, shows the following;

COB 9/8/15

ES vol 244,000
SPX vol 1,040,000
SPY vol 2,384,000

The ToS platform also shows Vol and OI for all three symbols (all symbols actually) for every strike price both puts and calls including ATM, ITM and OTM options.

You can get similar information from the CME, OCC, and CBOE web sites. Some of which you have to pay for.

That said, I only trade the ES options because they are available 23+ hours a day. When things are cooking in Asia and Europe I like to be able to be in the market. As opposed to sitting on the sidelines waiting for the US markets to open at 9:30am EDT. I have found some of the best trading opportunities come right after the Asian markets have closed and the Europe markets are at the midday point. That's normally between 6:30am and 9:30am EDT. Waiting for the SPY and SPX to start trading is like watching grass grow.

Best
 
The SPX options (along with the VIX options) actually start trading at 2am ct. They trade until 815am ct and stop for 15 mins.
 
IMO, choose 2 avenues based on your account capitalization: SPY options or ES options. The former screw you on taxes. The latter are going to be a 100 times easier to hedge (vs SPX) and you're probably going to get filled earlier.
 
FSU said:
The SPX options (along with the VIX options) actually start trading at 2am ct. They trade until 815am ct and stop for 15 mins.
More...
That is true but very few brokers are set up for this. It means they have to have a trading platform, route to the CBOE and a clearing firm that is willing to have staff available for this. In the futures world, they have to have this. Most brokers don't have this access and may not for some time.
 
FSU said:
The SPX options (along with the VIX options) actually start trading at 2am ct. They trade until 815am ct and stop for 15 mins.
More...


Yes, that's true. They also stop trading from 3:15pm until 2:00am the next morning and, as someone else pointed out, not all brokers offer extended hours trading on equity products. ThinkoSwim/TDA does not. Not sure about the rest.

My concern would be the liquidity of trading the SPX and VIX during ETH. For example if you visit the CBOE's web site and look at a fact sheet they have made available (located here http://www.cboe.com/micro/eth/pdf/ethfactsheet.pdf ) you see that the volume from 2am to 8:15am is not very high. Especially for the SPX where some days the volume numbered in the hundreds of contracts. The VIX is a little better.

The other advantage to ES options over equities (SPX, SPY, VXX, etc.) is that futures options (ES, YM, NQ, etc.) are not subject to the pattern day trading rules. A retail trader with less than 25K in their account can still day trade and not have to worry about the 4-a-week limitation.


I'll stick with the ES options.

Best
 
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