ETFs killing futures

tmarket · Apr 18, 2009

Quote from local_crusher:

No! Your volume quotes are wrong. (seem not compounded over exchanges)

SPY VOL Thursday: 335M
SPY VOL Friday: 263M

Pls check Bloomberg

Actually, there is no mistake. The quote I gave you was on Friday April 17 at 12:30PM so it did not show the entire day session.

Below is the chart of SPY vs ES.D. The blue line on the very bottom is the 20 period moving average of the ratio of Price*Volume*Bigpointvalue of the 2 instruments. The data showed about a 3.75x higher total dollar amount traded in the S&P500 futures ES compared to the SPY etf. Not quite the value of 5x I quoted earlier, but 5x is pretty close to the 4.90 daily value (red line, bottom panel) reached on Friday.

sjfan · Apr 18, 2009

Did you get your poli-sci degree on the internet? Bush is at the very top of presidents who increased the power of the executive branch? What about FDR? What about Andrew Jackson? Good lord - people sure have a very narrow span in terms of their memory of history.

Quote from monty21:

ors thought otherwise. George W. Bush is perhaps the best example, for in no other administration has the executive branch grown so much in political clout..

d138 · Apr 18, 2009

Commissions: Someone raised that before, but 500 Spy will cost me $2.50 in commissions, and 1 ES costs me $2.40, so the ES is a little bit cheaper for me. If you are paying more, then contact IB.

I was talking about other commissions that lead to lower liquidity in futures. You pay $2.50 for 500 spy, but more then 95% of commissions you pay to exchange will go trader that provides liquidity on SPY. You pay $2.40 for futures and all of this goes to CME. So there is less incentive to provide liquidity in futures. On top of this add cancellation fees for futures, and it becomes clear why CME is losing liquidity and market share.

local_crusher · Apr 18, 2009

When doing some volume and adding liquidity often, retail commis (e.g. IB) for 500 SPY will average below a buck.

With 2x or 3x ETFs (but never get caught overnight with these shitbags), your cost will come down further, when you add often, you'll trade cheaper than locals.

In the SPY/ES, the minimum price variation is another + for the ETF (0.1 for the ETF vs. 0.25 for the future).

The Merc will not mess around with the ES, but many traders will say, that especially with the ES trading in 800s, a lower MPV would be great.

monty21 · Apr 18, 2009

Quote from sjfan:

Did you get your poli-sci degree on the internet? Bush is at the very top of presidents who increased the power of the executive branch? What about FDR? What about Andrew Jackson? Good lord - people sure have a very narrow span in terms of their memory of history.

I should have rephrased that better... there has been no single president as powerful as G.W Bush... but a case can be made for him expanding the executive branch most significantly, nevertheless...

- A domestic consequence of the War on Terror is a totally disregard of the constitution and personal freedom & liberties.
- The lack of separation between the church and state.
- Corporate cronyism at its best... (a) particularly w/ the Bush family and Saudi prince family oil connection (b) Enron (c) Vice President's Chaney's former CEO position of Halliburton (received contracts without auctions in Iraq and Afghanistan)
- I'm sure other ET members can post a longer list.

And I actually got my political science degree from one of the top liberal arts colleges in the country.

I don't think that's important though. The best form of education is experience rather than a classroom setting.

TonyOz · Apr 18, 2009

Quote from monty21:

Well the book was published in 2001... maybe markets changed enough that "double-top patterns" no longer work.

In all seriousness though in case you missed my sarcasm in the previous post: Yes, I am the alleged author. And the book from 2001 was/is about money management that I still use in my trading every day. Figuring out pivot points and price targets are done the same way today as illustrated in the book, and when I choose to trade off double tops or bottoms or whatever support/resistance levels I identify, I still use the same entry and exit strategies (I believe I referred to it as buying points where and how). And I still use the same scans to find stocks, so I cannot say that the book is a total loss. However, I understand that a certain percentage of people won't find the book helpful. And after 8 years of severe pain in regards to that matter, I am finally OK with that.

As to the book the Stock Trader, I am damn proud of that book! As a matter of fact, I kept reading parts of it throughout 2008 as the 50%+ market crash was taking place. Reading my own trading journal from April 2000 has in fact brought my discipline level up and was one of the main reasons I had a very profitable 2008. And add to that the fact that anyone who bought this book for $44 off our website made a good investment as the book is selling right now for much more than that. In fact, it has outperformed the stock market by a mile, lol.

Quote from monty21:

He does have pretty good ratings on ET, considering it wasn't just his buddies on RealTick that gave the reviews.

It is an interesting world when it comes to reviews. You got your buddies pulling for ya, you got your competitors mud slinging ya, and somewhere buried in there you have some legitimate reviews.

Finally, Iâm not here this weekend to promote books that are either out of print or close to it. And Iâm not here to defend my past work or to pick up fights. Iâm actually here to get a feel for the market and engage in some conversation with regards to trading as I miss that.

Peace

Tony

sjfan · Apr 18, 2009

This is the quality of the a liberal arts school? I hope your focus wasn't american history.

So have we completely forgotten about Andrew Jackson's nepotism; the sedition acts?

To say he is the most power president is a bit of a twist isn't it? For one thing, he was the last in two centuries of expansionism of presidential power. So is Obama. Further, FDR has had far more war time power than bush.

Quote from monty21:

I should have rephrased that better... there has been no single president as powerful as G.W Bush... but a case can be made for him expanding the executive branch most significantly, nevertheless...

- A domestic consequence of the War on Terror is a totally disregard of the constitution and personal freedom & liberties.
- The lack of separation between the church and state.
- Corporate cronyism at its best... (a) particularly w/ the Bush family and Saudi prince family oil connection (b) Enron (c) Vice President's Chaney's former CEO position of Halliburton (received contracts without auctions in Iraq and Afghanistan)
- I'm sure other ET members can post a longer list.

And I actually got my political science degree from one of the top liberal arts colleges in the country. I don't think that's important though. The best form of education is experience rather than a classroom setting.

TonyOz · Apr 18, 2009

Quote from d138:

I was talking about other commissions that lead to lower liquidity in futures. You pay $2.50 for 500 spy, but more then 95% of commissions you pay to exchange will go trader that provides liquidity on SPY. You pay $2.40 for futures and all of this goes to CME. So there is less incentive to provide liquidity in futures. On top of this add cancellation fees for futures, and it becomes clear why CME is losing liquidity and market share.

I see your point, and I agree with it in regards to both commission structures that offer rebates for added liquidity like an ECN rather than an all inclusive fee for the retail trader and of course to the Market Makers. So what you are saying is that the CME takes a big bite out of the commissions where SPY distributes some of the crumbs back to those who add liquidity. I can see that as a competitive disadvantage.

You may find this conversation interesting. In November 1999, I was at the TAG conference in Las Vegas, and I have spoken to a very well-known S&P 500 futures trader. I asked her what she thought about the emini and if it was worth trading it. And what she told me was that this product will fail because commissions are too high. At the time it would have cost the same to trade the Big contract as it would the emini which was about $18-$34 per round trip at the time. Well, obviously she was wrong as commissions came down a lot and the electronic platform took off.

nkhoi · Apr 18, 2009

Quote from TonyOz:

Author??? Nope, never heard of this guy. ..

Hi Tony,
good to see you around, drop by sometimes, cheer!

Pa(b)st Prime · Apr 18, 2009

As a political science major...And I actually got my political science degree from one of the top liberal arts colleges in the country...Another dumb fuck. Isn't there a website called Elite College Student that you can amuse yourself with.

Compare Bush's "power" to Abe Lincolns. If Mike Moore had made a movie called Fahrenheit Fort Sumter he would've been hung.

Quote from monty21:

I should have rephrased that better... there has been no single president as powerful as G.W Bush... but a case can be made for him expanding the executive branch most significantly, nevertheless...

- A domestic consequence of the War on Terror is a totally disregard of the constitution and personal freedom & liberties.
- The lack of separation between the church and state.
- Corporate cronyism at its best... (a) particularly w/ the Bush family and Saudi prince family oil connection (b) Enron (c) Vice President's Chaney's former CEO position of Halliburton (received contracts without auctions in Iraq and Afghanistan)
- I'm sure other ET members can post a longer list.

And I actually got my political science degree from one of the top liberal arts colleges in the country. I don't think that's important though. The best form of education is experience rather than a classroom setting.