SP vs. ES Contract

[Pekelo]

Quote from gnome:

While the commission on 5 ES is higher than 1 pit contract,

By how much exactly?

So a swingtrader using only limit orders should still use the SP rather than the ES.....

 

[gnome]

Quote from Pekelo:

By how much exactly?

So a swingtrader using only limit orders should still use the SP rather than the ES.....

5 ES @ $5 per RT is $25. What is 1 pit contract these days, $8-$12?

 

[rida07]

Quote from jd7419:

Yes the big contract trades at night. Check the cme site I have traded the big contract many times at night.

Here's the link http://www.cme.com/clearing/clr/spec/contract_specifications_cl.html?product=SP

jd - Did you find the SP contract to be liquid (say for 1 or 2 SP contracts)?

thanks

 

[rida07]

Quote from gnome:

5 ES @ $5 per RT is $25. What is 1 pit contract these days, $8-$12?

Using Open Ecry - the commissions are about 4 times more expensive trading 5 ES vs 1 SP contract (assuming night session commission is based on an electronic schedule - not pit).

 

[thegazelle]

Problem with the Russell is that Ice just did away with the big contracts all together, only the minis.

 

[rida07]

looking at the big electronic contract (ticker ZSPZ8) - liquidity pretty much matches up the liquidity in the ES in dollar notional.

It trades on top of ES contract when bid/offer at round or 1/2 increments, but slippage of 0.05 pt vs. the ES when the bid/offer is at the 0.25 or 0.75 ( which amounts to $12.5/ big contract or $2.5/small contract).

So it looks like commission + slippage in big S&P contract will be about the same cost as the ES contract (though there will be times when you manage to buy and sell at even/0.5 prices and it will be cheaper vs. the ES).

Haven't looked at the dow mini vs. big contract yet - but suspect that slippage will be negligible as the bid/offer in the mini is smaller.