What is the most liquid FX index future?

S

snackly

I know there is for instance the CME dollar index. Not sure how liquid that is.

I looked at the E-mini EuroFX future on CME, it doesn't seem to have much volume in the evening.

What about the Eurodollar future?

Basically I'm looking for any FX based future that is somewhat liquid during London sessions?
 
Quote from operator:

You should look at Spot FX if you are trading London hrs. Most of the CME products are a little thin over night.
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Yeah I currently do, but I want a more transparent exchange where I can also see traded volume.

What about the EuroFX futures on the ICE exchange? That is located in Europe right? Does anyone know how the liquidity is for FX futures on that exchange during the London session?
 
you shouldn't be looking at the mini-futures, but at the big ones (twice as big) on Globex. Euro-fx september has done over 200k allready today.
 
Quote from cvds16:

you shouldn't be looking at the mini-futures, but at the big ones (twice as big) on Globex. Euro-fx september has done over 200k allready today.
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So the minis are less liquid? Isn't that the opposite of how it usually is with the equities indices?
 
Quote from snackly:

So the minis are less liquid? Isn't that the opposite of how it usually is with the equities indices?
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No. miNY petroleum contracts have little volume...
 
Quote from TraderZones:

No. miNY petroleum contracts have little volume...
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Ok, but the big ones mean larger exposure/leverage. I suppose if they're more liquid they are technically less risky.

So does anyone trade the Eurodollar future? (that is an interest rate future?).

Anything else that is a derivative of currency?
 
Take a look at 6E... EUR/USD

Product Month Price Change Est. Vol Updated
EUR/USD Sep 08 1.4236 0.0022 76710 09:42:24 pm
JPY/USD Sep 08 0.009263 -0.000011 44686 09:42:24 pm
GBP/USD Sep 08 1.7933 -0.0003 33910 09:42:24 pm
CAD/USD Sep 08 0.9432 0.0003 20872 09:42:24 pm
CHF/USD Sep 08 0.8838 0.0003 11792 09:42:24 pm


Couple observations.

Trading FX on CME is significantly different than Spot/Cash.
Price inflections appear to lead spot and track but bounce much different than OTC FX.

OTC FX you are trading against your dealers order book which typically is aggregately hedged with CME FX products and options. Regulated Market versus wild west... safety.

No Spread on CME products. ~$5 RT +- vs 2 - 3 pips = $25 - $30. $500 - $1250 per contract Intraday Margin. Effectively provides 250x1 Leverage with the ability to trade /hedge with Options!

6E does slow down significantly overnight...

Trades much more like the Emini's Indexes. Much deeper pockets playing here.

Daily Settlement Report.
ftp://ftp.cmegroup.com/pub/settle/stlcur

Read Up on CME propaganda: http://www.cmegroup.com/trading/fx/benefits.html
 
Quote from PocketChange:

Take a look at 6E... EUR/USD

Product Month Price Change Est. Vol Updated
EUR/USD Sep 08 1.4236 0.0022 76710 09:42:24 pm
JPY/USD Sep 08 0.009263 -0.000011 44686 09:42:24 pm
GBP/USD Sep 08 1.7933 -0.0003 33910 09:42:24 pm
CAD/USD Sep 08 0.9432 0.0003 20872 09:42:24 pm
CHF/USD Sep 08 0.8838 0.0003 11792 09:42:24 pm


Couple observations.

Trading FX on CME is significantly different than Spot/Cash.
Price inflections appear to lead spot and track but bounce much different than OTC FX.

OTC FX you are trading against your dealers order book which typically is aggregately hedged with CME FX products and options. Regulated Market versus wild west... safety.

No Spread on CME products. ~$5 RT +- vs 2 - 3 pips = $25 - $30. $500 - $1250 per contract Intraday Margin. Effectively provides 250x1 Leverage with the ability to trade /hedge with Options!

6E does slow down significantly overnight...

Trades much more like the Emini's Indexes. Much deeper pockets playing here.

Daily Settlement Report.
ftp://ftp.cmegroup.com/pub/settle/stlcur

Read Up on CME propaganda: http://www.cmegroup.com/trading/fx/benefits.html
More...

Thanks for your detailed answer. I have a few questions however.

You say that there are no spreads on CME products? I don't understand that. So to buy and sell a EURUSD future (6E) the bid/ask is the same? I'm not following you.

I trade spot FX on IB's IDEALPRO, so I am not trading against a dealer book, but trading with ~13 banks that provide liquidity. That said I am trading against their aggregately hedged books, so your point is still sort of valid, although I would think IB's spot FX is much safer than any FCM broker which takes the opposite side of your trade.

But anyway, I get your point about double the leverage during intraday trading.

And I get your point about the fluctuations being different.

But you said FX futures leads the spot rate and tracks? It can't do both right? I'm not following you here either. I thought FX Futures prices were behind the spot rate and derived from it to some extent, no?

As far as deeper pockets, you're saying due to the greater leverage? Meaning its riskier in terms of the position depth vs. spot?

And finally is that volume above in the number of round lot contracts?

Sorry for all the questions, and thanks in advance for the great insight!
 
Quote from snackly:

Thanks for your detailed answer. I have a few questions however.

You say that there are no spreads on CME products? I don't understand that. So to buy and sell a EURUSD future (6E) the bid/ask is the same? I'm not following you.

I trade spot FX on IB's IDEALPRO, so I am not trading against a dealer book, but trading with ~13 banks that provide liquidity. That said I am trading against their aggregately hedged books, so your point is still sort of valid, although I would think IB's spot FX is much safer than any FCM broker which takes the opposite side of your trade.

But anyway, I get your point about double the leverage during intraday trading.

And I get your point about the fluctuations being different.

But you said FX futures leads the spot rate and tracks? It can't do both right? I'm not following you here either. I thought FX Futures prices were behind the spot rate and derived from it to some extent, no?

As far as deeper pockets, you're saying due to the greater leverage? Meaning its riskier in terms of the position depth vs. spot?

And finally is that volume above in the number of round lot contracts?

Sorry for all the questions, and thanks in advance for the great insight!
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Obviously there is a spread plus round trip trading costs and commissions of approximately $5. My point is it is not a fixed 3 pips or inflated inside your FX feeds. Depending on your trading style if you monitor Level II you should be able to execute at 1 tick on 6E... roughly $17.50 per contract.

If the spread increases you might execute at 3 ticks. $42.50 versus a news related Spot spread of 9 pips. It's all relative but I have more faith in CME / Globex execution versus knight's hotspot or any white labeled FX system. Regulated exchange with reliable execution provides at least a minimum amount of trading safety.

CME 6E Leads the run aways and runs deeper... Pull up and compare time/tick charts and you'll see the peaks and watch the pull backs on a synced spot chart. Not sure about the other currencies.

Volume was cut and paste from CME's site.

Primarily trade CME FX Options... Strikes are spread out a bit but if you know what your doing you can enjoy the leveraged upside with minimized downside risk. Costs about the same as a margined contract... Not sure where to trade Spot FX options...

Observation: Deeper Pockets from the perspective of big money playing at this exchange. Deep Pockets writing options. Time and Money management is critical. Watch the 100 lot orders in 6E and resulting price action.

Outside of Dukascopy, I don't see anyone in Spot Fx providing an executable price feed and Level II. Most are white labeled systems with propreitary data feeds. Must be nice to be the black jack dealer, house and player splitting 10's all at the same time.

Just my unsubstantiated observations.
 
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