When will trading in the SP stop?

[AAAintheBeltway]

The ES is too small a contract. If you're doing real size the commish becomes a factor. Ideally, the CME or someone else will introduce a full-sized electronic contract.

I can see the current ES getting squeezed out at some point. The small spec's will prefer the ER2, the big players will want a full-size contract.

 

[guy2]

Quote from sheridan:

commercials also like the pit because you don't have to show your size and the filling broker can have discretion on how much to layoff knowing how much volume the pit can take without running the order.

You should be able to execute that more easily in the ES - you can see the size bid/ask at 5 levels below/above current bid/ask and can immediately see how much the market can handle and what your fill will be if you execute at market.

 

[FredBloggs]

Quote from AAAintheBeltway:

The ES is too small a contract. If you're doing real size the commish becomes a factor. Ideally, the CME or someone else will introduce a full-sized electronic contract.

I can see the current ES getting squeezed out at some point. The small spec's will prefer the ER2, the big players will want a full-size contract.

when you are a clearing member of the exchange (ie big player) you part own the exchange. costs are less of an issue - even v some big prop trader who does not clear himself.

splippage is a bigger cost to these folk than transaction fees.

 

[guy2]

I think that the CBOT's new big DJIA future is another nail in the big S&P500 futures coffin. CBOT are obviously not trying to take liquidity away from their $5 and $10 DJIA futures but rather trying to lure business from the CME and so their big future may tempt some big S&P500 proxy funds.

 

[patoo]

Personally, I wish the sharks would continue to swim in their own pool. Those guys certainly don't have my interests in mind. I wish the pit would never stop.

As more and more huge trades fly by on the time and sales window, I see the inevitable happening soon.

 

[romik]

http://www.tradingtechnologies.com/news/CEOP_ElectronicVsOOC.pdf

 

[guy2]

Quote from romik:

http://www.tradingtechnologies.com/news/CEOP_ElectronicVsOOC.pdf

2.5 years later and Eurex US hasn't been as successful as everyone thought it would be...

 

[fspeculator]

guy, very good analysis.

Wrt "What keeps people trading the SP?" A reason why many bigger players preferred the SP vs ES is the cost issue.

CME used to charge (and still does to a point) ABSURD fees for the electronic contract. These costs really add up if one trades BIG size.

Also, the tick-size issue 0.1pt vs 0.25pt.

I think those 2 factors support the pit, but as you pointed out, trends are in place.

 

[guy2]

What is the typical cost of trading 1 SP versus 5 ES?

 

[duard]

If you're a member costs are not really an issue.