Low Volatility Futures?

CFerret · Oct 9, 2006

Hello everyone -

I'm only familiar with usual futures contracts like YM, ES etc. and have a question to people familiar with different futures from around the world: which futures are low volatility but at the same time have enough liquidity.

By low volatility I mean not that "low" volatility like in ES last years but really small swings in tight ranges (just several ticks) or slow steady trends (with swings of the same several ticks).

Oh, forgot to clarify, I mean intraday low volatility...

Thanks in advance!

Janis

JangoFolly · Oct 9, 2006

CME Eurodollars (Globex root symbol=GE); not to be confused with EUR/USD futures.

http://www.cme.com/trading/prd/contract_spec_ED3087.html

Grant · Oct 9, 2006

CFerret,

Look at Eurex's Bund, Bobl and Schatz futures.

Grant.

JangoFolly · Oct 9, 2006

Quote from Grant:

CFerret,

Look at Eurex's Bund, Bobl and Schatz futures.

Grant.

The US$ value of the 20-day ATR on the Bund is running just slightly above that of the e-mini S&P ($567 vs $529 - approx.)

El OchoCinco · Oct 9, 2006

USD/JPY perhaps?

trading_time · Oct 9, 2006

DJ Euro Stoxx 50

Bingoking · Oct 9, 2006

Try corn

horribilicus · Oct 9, 2006

Lowest volatility of them all is CME LIBOR. Followed by Banker's Acceptances futures traded at Montreal. Then EURIBOR on LIFFE, then Canola at Winnipeg. Pull up some charts and have a look.

spread · Oct 9, 2006

Quote from Bingoking:

Try corn

I believe corn was limit up today, but I could be wrong.

Grant · Oct 9, 2006

JangoFolly,

What's ATR? Average True Range?

If so, and using your figures, are you saying the bund's (average) moves are equal to the e-mini S&P? Or am I way off?

Grant.