KOSPI 200 Futures - Traders

R

RedDuke

Hi All,

As most of you know CFTC allowed since November, 2008 to trade South Korea KOSPI 200 futures contract by US residents.

This contract is trade on KRX (http://eng.krx.co.kr/index.html).

This thread is to help us learn about this contract.

Here are few specifics:

The margin is around 11mil KRW, which is about $8,000.
RT is around $8.
The tick value is about $17
Average daily volume of March 09 contract is about 350K.
Average daily range for March, 09 contract is about 100 ticks.

I have few questions for those who trade it:

Are there any oddities in this market comparing to other ones? The example would be watching out for Typhoons when trading Hang Seng since the exchange can close.

What Asian news release can affect market? I never trade news and always flat few min before and after.

I see many block trades (100, 300, 600...) on tape that do not hit bids or asks. Where do they come from and how are they executed?

Thanks,
redduke
 
I have not traded this contract in the past, but I am interested in learning more about it. I imagine the Japanese Tankan Survey would move this market, along with the usual corporate/economic news. Other than Interactive Brokers, what other brokers allow US residents to trade this contract?
 
Moves like you can't believe.

I would not worry about block trades.
It trades every tick.

News is weird sometimes its something out of China.

Sometimes its a missile launch from North Korea.

On short time scales (5min) tends to go up sharply

Watch the currency and any news on ship builders.

If the won moves the K200 will move.

And watch

http://english.yonhapnews.co.kr/business/0503000001.html#
 
Quote from Div_Arb:

I have not traded this contract in the past, but I am interested in learning more about it. I imagine the Japanese Tankan Survey would move this market, along with the usual corporate/economic news. Other than Interactive Brokers, what other brokers allow US residents to trade this contract?
More...

IB is the only one that I know off to have access to this market for US traders.

What usual corporate/economic news are there besides Tankan?
 
Quote from dont:

Moves like you can't believe.

I would not worry about block trades.
It trades every tick.

News is weird sometimes its something out of China.

Sometimes its a missile launch from North Korea.

On short time scales (5min) tends to go up sharply

Watch the currency and any news on ship builders.

If the won moves the K200 will move.

And watch

http://english.yonhapnews.co.kr/business/0503000001.html#
More...

Thanks for the info.

I am not too worried about block trades, but there just so many of them. They distort tape a bit.

Do you how they get executed? I found few reference to Automated Block Trading Network(K-BloX), but not sure what it means.

Unexpected news such as missile launch, unfortunately can not be predicted. But I am more concerned about news like Non farm payroll in US or ZEW in Germany which make market go extremely volatile.

Thanks for the link and Won heads up.

How many per clip can there be traded with no more than 1 tick slipage?

Regards,
redduke
 
Lots is right easily trade 100 or more without slippage.

Market gets very quite around Chinese new year end January early February.

Often have a fomc or there equivalent meeting and announcement on third Thursday i.e. close day.

Haven't noticed that it affects much.

Generally it moves and you have no idea why.
 
do you have the historical average daily range in terms of %?

Quote from RedDuke:

Hi All,

As most of you know CFTC allowed since November, 2008 to trade South Korea KOSPI 200 futures contract by US residents.

This contract is trade on KRX (http://eng.krx.co.kr/index.html).

This thread is to help us learn about this contract.

Here are few specifics:

The margin is around 11mil KRW, which is about $8,000.
RT is around $8.
The tick value is about $17
Average daily volume of March 09 contract is about 350K.
Average daily range for March, 09 contract is about 100 ticks.

I have few questions for those who trade it:

Are there any oddities in this market comparing to other ones? The example would be watching out for Typhoons when trading Hang Seng since the exchange can close.

What Asian news release can affect market? I never trade news and always flat few min before and after.

I see many block trades (100, 300, 600...) on tape that do not hit bids or asks. Where do they come from and how are they executed?

Thanks,
redduke
More...
 
Thats an interesting way of asking.

I've always preferred an average in terms of tradable ticks. Mainly because when it gets too low my strategies don't work well.

IMO Red, with KOSPI you actually need to study it a bit to find out whether you like the way it behaves. I prefer spi or hsi but I've never traded us indexes. I think KOSPI is more like the us indexes - not as trendy as spi and hsi.

If no one has it I will post a couple of contracts of kospi data in 7zipped ascii form ... say 30 second bars. Does anyone want me to do that?
 
Quote from dont:

Lots is right easily trade 100 or more without slippage.

Market gets very quite around Chinese new year end January early February.

Often have a fomc or there equivalent meeting and announcement on third Thursday i.e. close day.

Haven't noticed that it affects much.

Generally it moves and you have no idea why.
More...

Excellent news on the trade size. I see that the book is deep, but seeing it and actually trading this size is 2 different things of course. Are you trading it? If yes, what is the max size you ever traded if you do not mind me asking.

Is it every third Thursday of each month?

Thanks,
redduke
 
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