Say No To Thin E-mini Spread

Quote from nitro:


Whaaaaaaaaaaaaat?

So, if you had a .10c spread, now you would be losing your money slower to the people with Globex Terminals??????? Like I said, if you have a winning method for the ES, trade the SPY if the ES contract size is beyond your means!!! There, the spread is almost always .01 to at worst .05, and there are no traders with Globex Terminals around.

As to "paying more costs then they should" how do you figure that? In order to have access to a Globex machine, you have to pay big bucks. Seems like their costs are higher than yours to me, not less.

If a Globex machine is such a great advantage, why not go and get one? It should pay for itself in no time according to you!

nitro :confused:
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Nitro, you comments are illogical. Its like saying - hey if you don't like paying $40 futures commissions go trade the SPY with $4 commissions. No thanks. I'd rather trade the emini with $4 commissions and a .10 tick size.

And yes I am making money, thank you very much.

I do more inter-day trading than intra-day, so having a Globex terminal wouldn't pay for me.

In a nut shell - all I am trying to do is "KEEP COSTS DOWN" - just like you advise in your by-line.
 
Quote from Tea:



Nitro, you comments are illogical. Its like saying - hey if you don't like paying $40 futures commissions go trade the SPY with $4 commissions. No thanks. I'd rather trade the emini with $4 commissions and a .10 tick size.

And yes I am making money, thank you very much.

I do more inter-day trading than intra-day, so having a Globex terminal wouldn't pay for me.

In a nut shell - all I am trying to do is "KEEP COSTS DOWN" - just like you advise in your by-line.
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LMAO.

Okay, I am being illogical. It is obvious...I am going to spend time with my daughter instead of posting on this idiotic thread anymore...


nitro :(
 
Quote from nitro:


Best of luck to them for what? The only place on this planet that an SP futures contract can be traded is at the CME. Only THEY can allow it to be traded somewhere else [why they would allow it is beyond me...]

In case you haven't noticed, the CME went public at the NYSE. The demand for the stock was so great that it drove the price up hard the first day, and most that were trying to get in the IPO got a fraction of the number of shares that they had hoped. All this in an enviroment where large institutions wouldn't dream of an IPO.

More appropriate perhaps is, GOOD LUCK TO YOU.

nitro
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Another freak here...

I don't care IPO crap story.
My cheers to CME is for their efforts to make their products fair to individual traders. Hey, that's the most beautiful thing of e-market.

After I read through the entire posts here, I found many idiots saying 0.25 spread is more profitable than 0.1 to us. WHAT???
May be to you, not to us.

Well, here is my word. GOOD LUCK TO YOU nitro guy.
 
Quote from estrader:

If you dont like ES e-mini spread, you could always trade NQ e-mini. It has .10 spread, of course it has less volume because of that too. Build up a product, and then we will come in and mess with it. Also if you like an even thinner spread (0.000001) you could trade SPY,QQQ, DIA. There are so many to chose from.
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Once he found he coudn't reply logically to others, this is his suggestion... What can I say?
 
Quote from cheeks:



Your losing me on this one.

What I was saying, is the dollar volume has grown in ES to the point that it equals the pit.
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Take a look at open interest. As of Dec. 13,

SP 655,939
ES 470,235

And that's not even taking into account the size of the contracts. If we do then

SP 3,279,965
ES 470,235

Banks, hedge funds, major speculators still choose the pits. Price discovery occurs in the pits.
 
Quote from jaming5002:



Take a look at open interest. As of Dec. 13,

SP 655,939
ES 470,235

And that's not even taking into account the size of the contracts. If we do then

SP 3,279,965
ES 470,235

Banks, hedge funds, major speculators still choose the pits. Price discovery occurs in the pits.
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Baloney!

Price discovery is not open interest, its short term current price. Its something the pit with its structural time lag can never match.
 
Quote from jaming5002:



SP 3,279,965
ES 470,235

Banks, hedge funds, major speculators still choose the pits. Price discovery occurs in the pits.
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Okay. But what does open interest have to do with price discovery?


Yes, there are more longer term players in the big contract. There is more slippage, so you have to be a longer term player. But again, what does open positions have to do with price discovery?
 
The QQQs produce a spikey, often misleading and messy chart and, as others have put it elsewhere, trade in a "cloud" around the bid-ask.

Though the NQ's trade at a wide spread (.5, not .1), the average range of a given NQ bar in short time frames is significantly narrower than of a given QQQ bar - often around 33-40% or more (see attached chart) . The differences between ES and SPY are smaller, but can still be significant. For some traders, these differences might represent opportunity, and for some they might be meaningless noise, but for others they creates ulcers (bad signals, blown stops, and so on). I suppose it's possible that tighter NQ spreads would lead to some similar "cloudiness," but I think the real explanation begins with A(nother) M(iserable) EX(ecution) and also involves discontinuities and lags relating to other exchanges, the nature of QQQ arbitrage, and perhaps the peculiarities of QQQ traders.

For technical trading (broadly defined), I much prefer the e-minis: When they hit a price level, they tend to MEAN it, at least a lot more often than the Qs do. A purely technical approach may mean sacrificing the bid-ask both on entries and exits, and a thinner spread might make direct execution more or less at market easier and more profitable (and the charts more precisely reflective of price discovery moment-to-moment) - though there's no iron law preventing technical traders from improving their execution skills, and at least some of the time selling on the ask and buying on the bid like a scalper.

Anyway, as with so many other trading "controversies" (and so many other issues in life), where you stand on this one may depend on where you sit.

NOTE: The indicator on the attached charts calculates the average range of each five bars as a percentage - the results confirm the visual impression and, I might add, actual experience.
 

Attachments

Quote from cheeks:



Okay. But what does open interest have to do with price discovery?


Yes, there are more longer term players in the big contract. There is more slippage, so you have to be a longer term player. But again, what does open positions have to do with price discovery?
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What does open int. have to do with price discovery? Everything. Open interest is a sign of the "Smart Money". It's a known fact that most small speculators (read e-mini traders) will buy late in the rally and sell late in the trend.

In short, SP Open Int. is 7-8x the size of the ES open int. This is the money that will "move the market" if it chooses to, not a bunch of e-mini retail traders. (Please don't respond to this with some pathetic argument that e-weeny traders create arb. opportunities which moves the market.) As for this thread, I'm probably done with it.

As for my original argument, regardless of the tick size, their will still be a .20-.30 spread in the minis. The only people willing to narrow this spread will be those who have to puke their positions and give up their edge, not those smart traders who enter correctly.


In peace
 
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