Quote from Businessman:
When they make SP full time electronic, perhaps reducing the size from 250K down to 100K, and keeping the spread to 0.1, then ES will be dead.
And the SP might be a much better instrument to trade than ES, something like a more liquid version of ER2.
But it might never happen, they might just keep ES the way it is, and never make SP full time electronic.
Quote from Bernoulli:
I'm a little confused by this comment: a smaller sized, electronically traded SP500 future is the e-mini. I believe the SP500 contract is fungible with the e-mini in a 5:1 ratio. If anything I think institutions trading SP futures would prefer to keep the larger size; a smaller contract would be less useful.
When I started trading index futures, the SP500 daily range was about 2 points, it traded in nickels, and its value was $500 x the index. So the average number of ticks in a daily range was about 40, which is about what we have now in the e-mini. My sense is that the SP doesn't move a lot differently now than it did 20 years ago. The big difference for me is the vast amount of deep liquidity on both sides of the market. There are a far fewer price vacuums in the futures than I remember (perhaps due to the bots). For me the e-mini is a joy to trade due in part to the deep markets.