Sidekicker
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We all know the ES is one of the most liquid futures contracts to trade but which of the European markets is the most liquid?
Eurostoxx, FTSE, DAX?
Eurostoxx, FTSE, DAX?
more liquid? FTSE or Eurostoxx?
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Enzzo
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All of them are very very liquid markets for "normal" retail trading, you can add the German Bund as well....
would be another thing if you trade "massive" sizes, but even if that were the case, take into account that all the Prop trading firms and hedge funds out there do trade them actively in several time scopes in a daily basis....
The Leopard
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FESX by a long way - far more than the other two put together.
Sidekicker
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Doesn't this allow anyone with the funds to push the FTSE around a lot more?
I mean I know the flipper used to do stuff in the bonds so of course it's possible in any contract at illiquid times...
...and on that note if the FESX is more liquid, why are SB and CFD companies charging 2 pt spreads on it in the UK? Traded less than the FTSE in UK maybe?
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Enzzo
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Maybe I'm totally wrong here.. but I read once that German Bund was the most traded instrument in the world not that far time ago... so if the "flipper" pushed it back then with massive orders I think any other market could be pushed till a certain way as well
Shakone
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In what little I've read (there isn't a great deal out there) about the Flipper, he wasn't trying to push the market back, he was assessing which way the market was likely to go anyway without him, placing an order to indicate that he wanted to go the other direction and then flipping that order. I think he said quite clearly, he couldnt' stand in the way of a trend.
The Leopard
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Sure, but that is a dangerous game.
As for the bucket shops, you'll have to ask them. I imagine it's just something that UK punters want to punt on more, so they're more concerned with roping them in - so I think you're right about that.
I'll see if I can get the average daily volume - the difference will be massive. I have a feeling that FESX is somewhere in the region of a million cars a day.
The Leopard
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Looking around, I can't seem to locate the info on the FTSE (these f uckers could learn something from the CME, that's for sure) but this is from the Eurex website:
Total FESX contracts traded in April, 26,000,000. So about 1.3 million a day, assuming 20 trading days.
FDAX, 3,000,000, so about 150,000 a day.
FTSE I don't know, but I seem to remember seeing that it was in the same region as the FDAX.
As a rough rule of thumb then, there's around 10 times the volume in FESX that there is in either FDAX or Z.
http://www.eurexchange.com/download/statistics/monthly/monthlystat_201204.pdf
Total FESX contracts traded in April, 26,000,000. So about 1.3 million a day, assuming 20 trading days.
FDAX, 3,000,000, so about 150,000 a day.
FTSE I don't know, but I seem to remember seeing that it was in the same region as the FDAX.
As a rough rule of thumb then, there's around 10 times the volume in FESX that there is in either FDAX or Z.
http://www.eurexchange.com/download/statistics/monthly/monthlystat_201204.pdf
Enzzo
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The Leopard
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Outstanding difference...Madre mía!!!
I actually thought it was more to be honest, but the relationship is very similar to that between ES and YM (mini S&P and Dow). The S&P from memory is in the region of 2 to 3 million a day, the Dow around 200,000 or so.
I can't remember the number for NQ (mini Nasdaq) off the top of my head, but I've got a feeling it's approaching midway between the two. Certainly a lot more than the Dow and a lot less than the S&P.
The big boys are massive compared to the smaller contracts.
Sidekicker
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Often wondered why we don;t have all this stuff in Euro area. Very difficult to even get the equivalent of put call ratios.
Futures Liquidity
The Leopard
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Yeah, the CME/CBOT site is pretty solid really. A lot of good information and all readily accessible.
Enzzo
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Sidekicker
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What's the average DMA spread on the FESX?
The Leopard
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I don't trade it but I would have thought 1 tick (which is 1 point or 10 euro).
rsh01
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Sidekicker
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Yep correct...daylight robbery that the SBers are charging 2 pts on a contract that doesn't even move as much as the FTSE.
DMA is 1 pt during the day.
