Worlds Deepest Instrument?

[achilles28]

Does a more liquid instrument exist than the EURUSD?

For manual traders that focus only on one instrument, the EURO is not nearly as deep as the 3 Trillion daily turnover billed to the entire FX market:

- 800 Billion EURUSD done per day
- ~60% of that done during Europe&US.


Break that into two regular trading sessions, at 6.5 hours each:

240 Billion turnover, per session.

OR 2.4 Million standard "contracts" (aka Lots) traded, per session.


What other deep markets are there?

 

[Jayford]

ES and ZN futures are pretty damn deep. You'd never get too big to day trade em. Massive size in both gets sucked up immediately during RTH.

 

[MrDODGE]

QQQQ and SPY during market hours

Not quite forex territory

 

[matgallis]

credit derivatives?

 

[achilles28]

Yea, all those are deep.

I guess the point is moot (to a degree) since position limits exist on future contracts.

Just out of curiosity, how do Commercials and Institutions get around those limits?

 

[achilles28]

Quote from matgallis:

credit derivatives?

Thats a good point.

Credit Default Swaps have 45 *Trillion* outstanding. First is something called "full index trade". No idea what that is.

How are credit derivatives traded? Through a regular brokerage?

 

[c.chugani]

Quote from achilles28:

Thats a good point.

Credit Default Swaps have 45 *Trillion* outstanding. First is something called "full index trade". No idea what that is.

How are credit derivatives traded? Through a regular brokerage?

If i'm not mistaken, their traded OTC - ie. mostly unregulated, and financial institutions opt to keep it that way

 

[BigFunky]

I believe the most voluminous of exchange traded products are options on the Kospi 200 (Korean Stock Index). Apparently the ~ 2 billion traded each year accounts for over a third of all options traded worldwide.

That's something like 10 million traded each day.

 

[TigerBalm]

I guess you have to define "deepest" first : volume, turnover, market impact given $X to trade, etc; Thus, the KOSPI 200 futures are heavy in volume because the Korean Won is 1/1000th of a USD or so. It's multiplier is 500,000 <-- I may be wrong about this since I get confused by the number of zeroes involved!

Of interest to this thread : I once found this document by the Sydney Futures Exchange (now part of ASX):

http://www.sfe.com.au/content/sfe/trading/qmm_200406.pdf

Excerpt:

Top futures contracts by liquidity (in USD notional value):
1. E-mini S&P 500 - CME
2. S&P 500 - CME
3. CAC 40 - Euronext
4. KOSPI 200
5. Dow Jones Euro Stoxx 50 - Eurex
6. DAX - Eurex
7. E-mini Nasdaq-100 - CME
8. FTSE 100 Index - Euronext
9. Nikkei 225 - OSE
10. Topix
11. SPI 200
12. OMX
13. JSE All Share Index
14. S&P CNX Nify
15. Sensex


But if you notice the ordering by volume, not notional value,

1. E-mini S&P 500
2. Dow Jones Euro Stoxx 50
3. E-mini Nasdaq-100
4. KOSPI 200
5. CAC 40

 

[BigFunky]

Quote from TigerBalm:

I guess you have to define "deepest" first : volume, turnover, market impact given $X to trade, etc; Thus, the KOSPI 200 futures are heavy in volume because the Korean Won is 1/1000th of a USD or so. It's multiplier is 500,000 <-- I may be wrong about this since I get confused by the number of zeroes involved!

Yeah, that is a good point - having a huge depth is no real use if it can't cope with big money.

I also note that your list refers to the volume of futures contracts traded - the high volume related to the Kospi is actually in options on the future contracts.