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New to futures and confused about YM daily traded volumes
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New to futures and confused about YM daily traded volumes

  #1 (permalink)
Trading Apprentice
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New to futures and confused about YM daily traded volumes

Hi

I am from the UK and have traded equities and the FTSE100 Index for many years - but never via futures contracts. I am considering dipping my toe in to the futures market but think I must be misunderstanding daily traded volumes. I had better try and explain myself and hope someone can set me straight.

I have some success over the years in my own small way and based on my bank account size I able to control 1000 YM or ES contracts judging by commonly advertised day trading margin requirements - not that I ever would of course! I am very much a conservative trader/investor and am saving money to pass on to my children.

I have Googled daily volume of traded contracts for the mini dow contract (YM) and keep seeing figures around the 300,000 mark. I have read that YM is not as liquid as ES but surely I do not have enough money to control 1/300th of the YM market? That's why I think I must have something wrong somehow.

Maybe my Googled figures are wrong and YM trades higher volume than 300,000 daily? Then I see the ES trades maybe 2 million contracts a day - that sounds more like it, however I was still expecting more??? Can someone please explain daily traded volumes as I think I must have it wrong.

Thanks very much

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  #2 (permalink)
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  #3 (permalink)
Market Wizard
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powerbook View Post
Hi

I am from the UK and have traded equities and the FTSE100 Index for many years - but never via futures contracts. I am considering dipping my toe in to the futures market but think I must be misunderstanding daily traded volumes. I had better try and explain myself and hope someone can set me straight.

I have some success over the years in my own small way and based on my bank account size I able to control 1000 YM or ES contracts judging by commonly advertised day trading margin requirements - not that I ever would of course! I am very much a conservative trader/investor and am saving money to pass on to my children.

I have Googled daily volume of traded contracts for the mini dow contract (YM) and keep seeing figures around the 300,000 mark. I have read that YM is not as liquid as ES but surely I do not have enough money to control 1/300th of the YM market? That's why I think I must have something wrong somehow.

Maybe my Googled figures are wrong and YM trades higher volume than 300,000 daily? Then I see the ES trades maybe 2 million contracts a day - that sounds more like it, however I was still expecting more??? Can someone please explain daily traded volumes as I think I must have it wrong.

Thanks very much


Actually, there are very few days where YM volume is over 300K. But I think your interpretation is correct.


The Average True Range on YM is around 140 points a day, which is $700 per contract. So, when you buy your 1000 contracts, expect daily swings of $700,000.

Exchange initial minimum margin by the way, is $3905 currently.



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  #4 (permalink)
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Thanks for the reply. I was assuming 500 USD margin per contract. Either way I am really surprised, I was expecting more than 300,000 contracts traded daily for some reason.

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  #5 (permalink)
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I hope this is a joke, daytrading 1000 contracts without experience in trading futures.

I would start a small account to learn how to trade perhaps 5 contracts and only trading liquid products like 10 yr. notes, German Bund, ES or Eurostoxx50.

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  #6 (permalink)
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In case my original post was unclear. I am not interested in trading this size. The query relates to size of YM market. I was expecting it to be much larger given the number of financial institutions etc. on the planet. However it seems 300k contracts per day is correct - you learn something new every day as they say.

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  #7 (permalink)
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powerbook View Post
I was assuming 500 USD margin per contract......

I have never traded shares, but with futures you will see brokers quoting two figures for margin. One figure will be higher which is the margin for people who want to hold trades overnight (through the one hour exchange close, currently between 10-11pm UK time for the CME), so swing traders and longer term traders; and a day trading margin, sometimes as low as $500 per contract for day traders who only trade intraday and will always be flat with no position before the close.


Last edited by matthew28; June 13th, 2017 at 04:58 AM.
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  #8 (permalink)
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New to futures and confused about YM daily traded volumes

I just wanted to reiterate what was pointed out above: 300k YM contracts per day is more like the typical upper extremum.

The average is more like 100-150k per day on the YM (give or take)....which I agree is very small compared to other more liquid contracts such as ES and ZN...which are typically more than 10 times the YM volume ...or so, not being exact here.

Having said that, since you're not new to trading, load up a chart and check it out. Share your thoughts.

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  #9 (permalink)
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I definitely can relate to OP's sentiment regarding the volume difference between ES and YM. Initially, it seems counter-intuitive that there should be such a difference in volume between the two indices. ES really is a monster of volume.

A good free site to check out if you want to confirm the current volume of futures instruments is Barchart.com. https://www.barchart.com/futures/most-active

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