Volume record on Russel 2000

[riley]

Today volume was over 49,000. Pretty strange considering we did not break yesterday's high or low.

 

[TG]

Many in group I trade with have left ES to trade Russell and Euro.

 

[saschabr]

I see this in conjunction with the fact
that the volume for the YM has surged
recently.

For technical analysis, volume of the ER2
is irrelevant and misleading, since
it is a "slave instrument", you should
consider volumes of the NQ + ES ( + YM)
instead.

 

[version77]

What is a "slave instrument"?...

 

[saschabr]

Quote from version77:

What is a "slave instrument"?...

The primary market is the S&P 500.
There is the volume. The quotes
for INDU / YM or the ER2 move of course
in accordance to the SP first (see arb software) with minor divergences.
(see Intra-Commodity Spreads, where one is long ES / short ER2 if the ES should perform better)

 

[version77]

Thanks for the info!...

 

[vulture]

I have also heard that alot of prop futures guys are migrating to the ER2 of late. I would argue that this is a larger and larger percentage of the overall volume.

 

[saschabr]

Yeah,

I've seen some chatroom buddys
trade the ER2 or the YM recently.

The reason is that in the ES it is more&more difficult to get filled when joining bids&asks due to massive book size and the "large" tick size.

However, I would not like the ES tick
size to be reduced. I stick to the ES
and IMO everything is fine !

 

[50 cent]

Volume on YM and ER2 cannot be used for t/a purposes, only ES and NQ have enough volume to actually clue in on capitulation of moves etc.

However, the idea of trading the ER2 is interesting.. I put it on my screen and will start following it today, see if it's tradeable.. seems more volatile than the others.