Why isn't the NQ-ES spread tracking the percentage difference between NQ and ES? - futures io
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Why isn't the NQ-ES spread tracking the percentage difference between NQ and ES?


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Why isn't the NQ-ES spread tracking the percentage difference between NQ and ES?

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  #11 (permalink)
alphagamma
London, UK
 
 
Posts: 7 since Oct 2021
Thanks: 1 given, 1 received

I took a screenshot of tradingview with the two spreads NQ/ES (blue) and RTY/YM (orange) and the super spread (NQ/ES)/(RTY/YM) in black.



The super spread seems to track the difference between the two spreads just fine... It always touches 0% as soon as the normal spreads get back together. Please disregard the first cyan circles, as I mixed up the lines a bit...

But I understand, it's probably only good to track the differences from a theoretical point of view, once you want to build a position, you gotta pay close attention to the notional values and how they might impact these percentage calculations...

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Last Updated on October 22, 2021


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