Estimated Annual Savings for US Treasury Futures Traded on ELX via CME

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ASusilovic

CME-ELX-Pricing-Comparison060809_v4.aspx


Fee Schedule Highlights

· Only two fee tiers

· Fee is determined at the customer account level based on ELX usage on a monthly basis

· There is no additional surcharge associated with block trades, EFP’s, give-ups or trade busts

· Once a trader reaches the higher Average Daily Volume threshold during a monthly billing period, then all the trades during that month qualify for the lower rate retroactively

· Average Daily Volumes include Block trade volume, EFP volume and ordinary trade volume in the account for the month (i.e. if an account attains an Average Daily Volume of 401 contracts and above, exchange and clearing fee charged will be $0.09 per contract regardless of whether the trade was part of a block or regular transaction)

· No shareholding or membership requirements tied to fees

· ELX Futures will keep this fee structure in place for a minimum of one year from time of launch

http://www.elxfutures.com/Products/Fee-Schedule.aspx

# Who are ELX's founding firms?
ELX’s founding firms include Bank of America, Barclays Capital, BGC Partners, Breakwater, Citi, Credit Suisse, Deutsche Bank Securities, GETCO, Goldman Sachs, J.P. Morgan, Morgan Stanley, PEAK6 and The Royal Bank of Scotland.
 
I just noticed they are actually attracting volume !

20.000 contracts/day in each series is not much, but they don't seem to fail miserably; like EurexUS / Brokertec did !

While I understand IB is hesitating adding new exchanges after these failures like EurexUS, maybe they better keep an eye on this one
 
So the ELX is backed by a collection of failed and nationalized businesses. That sounds promising.

I'm no fan of the CME -got nothing good to say about them except that they are not ELX. That's a big plus actually...

As for the volume. If I was a founder of the ELX, I would cross trades up all day to make the volumes look healthy. I very much doubt it costs anything for those guys, and it might drum up a bit of interest. Just because they have done this type of marketing probably means they will last a few months longer than the many failed attempts to compete with the CME.

I used to trade 10k rts on a busy day -now I'm not sure I even know anybody that does a 1000. So it's academic really. Not sure why they aren't a bit more sensational -if you do 100k rts a day you would be saving $1b/year etc etc. Don't forget if the market isn't liquid, you can add $31.25 to the price of each rt. Doesn't look so cheap after that does it...
 
As long as my collateral is safe, there is liquidity comparable to the CME, AND it saves me money, why would I give a flying rat's ass about who is behind the exchange?

As to your point about the liquidity of the mkt, that's disingenuous. If bid/ask on the ELX is the same as that on the CME, you're gonna have to pay the same both places.

I personally think exchange fees are completely ridiculous and would welcome any and all competition to the space.
 
What kind of idiot would trade 10,000 contracts a day and not buy a membership seat? That graph is useless.

The real difference in savings is .04 a round turn. .18 elx vs .22 cme member price.

The second difference is liquidity. Elx does ZERO volume overnight. Before and after economic numbers there book is also blank. The only time you get the same bid ask price as cme is in a slow market. Also the bid ask size is 1/5 to 1/10 th in size.

I have heard that the banks are trading with themselves to show some volume. Iam not sure if this is true or not. Check out open interest on the elx, its almost at zero, which means no ones is carrying positions overnight. This makes me believe that banks are washing trades.

I don’t like the idea of two exchanges. I want all the volume and liquidity in one place. If the markets were fungible then you could create a program to combine them together. So without fungibility I prefer one dominant exchange. I also don’t think .22 cents is unreasonable.
 
I'll second what Robustdeus wrote. The chart above is illogical, to put it kindly. And without liquidity (which some of the posters on here really don't understand) you can't get in or out of your intended price and thus the cost per trade (per the brilliant chart above) is meaningless. If you do any type of modest size or manage funds, it's a train wreck.
 
If liquidity on ELX is a lot worse then that's obviously a problem. I assume BT50 was referring to me as a 'poster, who doesn't understand liquidity'. You will note, however, that all my comments were prefaced with 'assuming the same liquidity'.

At the moment, I see that the mkt on the ELX 10yr is 1/32 wide vs 1/64 on the CBOT. It is a lot thinner, for sure (arnd fivefold, at first glance). Still, for a new exchange, it's not a complete trainwreck.

Moreover, as I said, I don't like the idea of exchange monopolies or oligopolies, especially in the new exchange-centric world. Obviously, it's a trade-off between liquidity and costs, as robustdeus mentioned, but the fact that these entities are increasingly able to set prices the way they see fit is making me uncomfortable.

My Z$2c...
 
Yeah they are not a failure yet, and have fared much better then the other exchange attempts.

My other reason for disliking the elx is that they put the 30Y in 1/64 (half) ticks. I cant scalp the bond in half ticks.
 
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