Some questions about spread trading

bugra01

bugra01

Hello, there is some points that I can't realise about spread. As you will be agreed with me, this topic is too closed to sharing info. Not clearly as traditional methods. Could you please help me?

1- It's most important one. Let say we created an ES-NQ spread. Is it more trendy according to particularly ES and NQ outrights?

2. Can I apply different chart types (tick,range etc) and study (footprint, volume profiles) on a spread chart?

3- Is there any shortcut for calculate cost, margin and tick value of a single spr. position?

Sorry for my bad english. Thank you :)
 
The first answer is yes, the NQ/ES spread will move less against it's own trend because it is cross hedged.

I have ways to aggregate the volumes, but I don't know that you can get footprint without some kind of custom coded software. Range bars sounds like a possibility.

Always compare the difference in cash value of futures contracts. For a NQ/ES spread in a 1:1 ratio, you would take the cash value of a Nasdaq 100 future and subtract the cash value of an ES contract >> 20*NQ - 50*ES.

There is no tick value because it is a combination of ticks in each leg that will change the value of the spread (and trading in the cash market).

You can look up the margin credit ratio at the CME site.
https://www.cmegroup.com/clearing/m...tor=EQUITY+INDEX&clearingCode=NQ&pageNumber=1
For highly correlated instruments the credit can be 75% or more, but varies considerably based on CME SPAN margin rules and your brokers margin policy.
 
Real Money said:
The first answer is yes, the NQ/ES spread will move less against it's own trend because it is cross hedged.

I have ways to aggregate the volumes, but I don't know that you can get footprint without some kind of custom coded software. Range bars sounds like a possibility.

Always compare the difference in cash value of futures contracts. For a NQ/ES spread in a 1:1 ratio, you would take the cash value of a Nasdaq 100 future and subtract the cash value of an ES contract >> 20*NQ - 50*ES.

There is no tick value because it is a combination of ticks in each leg that will change the value of the spread (and trading in the cash market).

You can look up the margin credit ratio at the CME site.
https://www.cmegroup.com/clearing/m...tor=EQUITY+INDEX&clearingCode=NQ&pageNumber=1
For highly correlated instruments the credit can be 75% or more, but varies considerably based on CME SPAN margin rules and your brokers margin policy.
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Thank you so much. So can we say spreads safer than outrights according to trendly more intraday and against sudden price jumps. Thats ok. I asked the footprint study cause of POC's of range bars are one of the important filters of my outright daytrading strategy.
 
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