The Future of Emini Futures

R

ranger64

i just had a look at the average daily volume of cme index futures january 2009 compared to january 2008.
volume is sharply down in es, nq and ym. the nq was hit worst, average volume dropped to 285000 in january, volume was 552000 one year ago. if volume decline continues at this pace, daytrading eminis could be a tough task in the near future...
 
Quote from ranger64:

i just had a look at the average daily volume of cme index futures january 2009 compared to january 2008.
volume is sharply down in es, nq and ym. the nq was hit worst, average volume dropped to 285000 in january, volume was 552000 one year ago. if volume decline continues at this pace, daytrading eminis could be a tough task in the near future...
More...

There are many reasons why this wasn't a valid comparison. The main reason being the character of the markets during those two different periods. In any instrument, on any time frame, volume can be expected to be lower during chop and grind and the awaiting of an announcement, compared to a period of solid legitimate moves.

Not saying volume won't go down, as we could go into multi-year doldrums, but keep what I just said in mind.
 
Reason volume is down...

Historic volatility.

Position sizes adjusted down due to increased margin and volatility. Plus, a number of players lost their shirts.

As volatility normalizes (VIX back in 30s) and CME lowers SPAN margin, volume will increase.
 
Quote from ranger64:

i just had a look at the average daily volume of cme index futures january 2009 compared to january 2008.
volume is sharply down in es, nq and ym. the nq was hit worst, average volume dropped to 285000 in january, volume was 552000 one year ago. if volume decline continues at this pace, daytrading eminis could be a tough task in the near future...
More...


First off as a previous poster stated it is hard to make a comparison between this period and last January , we have just experienced unheard of levels of volatility over the past several months.
You have to remember what the e-mini or regular sized index futures contracts are primarily used for ; short and long term hedging by institutions for their portfolios , it is also used on a intraday timescale by broker/dealers and institutional execution desks to hedge institutional stock buy/sell orders/lists as they are executed thoughout the day.

The volumes may drop off a little from time to time but the futures contracts are very much needed by the institutions to help minimise the market impact costs of trading in baskets of different underlying shares .

So I wouldnt worry about it too much...
 
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