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Trading the new CME E-Micro's (E micro) MES, MNQ, MYM, M2K and other micros


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Trading the new CME E-Micro's (E micro) MES, MNQ, MYM, M2K and other micros

  #351 (permalink)
 1upTrader 
Seattle, Washington
 
Experience: Intermediate
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Today, MES has dropped to 1/5 its previous book size. The spread is a full point.


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  #352 (permalink)
 
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 WoodyFox 
Columbus, Ohio
 
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1upTrader View Post
Today, MES has dropped to 1/5 its previous book size. The spread is a full point.


Volume sometimes gets wacky during Contract Rollover. We have no history of this for the MES, but I'm sure its playing a part.

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  #353 (permalink)
 
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 snax 
Chicago, IL
Legendary Price Action Student
 
Experience: Beginner
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Not only that, /MESM9 volume finished at about 201K today, making it slightly more heavily-traded than front-month Comex Gold Futures (/GCQ9) !!!

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  #354 (permalink)
 
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 SMCJB 
Houston TX
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SMCJB View Post
Interesting observation at 10:07 on June 13th
ESM9 Volume 698558
ESM9/U9 Spread Volume 123921 which is 17.7% of the outright volume

MESM9 Volume 110362
MESM9/U9 Spread Volume 7 which is 0.0% of the outright volume
Obviously very different dynamics involved in these two contracts!

Similar situation today 57k ES spreads and only 11 MES spreads. In fact right now at 8:51 ESM9/U9 is 395/400 (57k/38k) and MESM9/U9 is 400/410 (177/200) so basically 400 choice!
Little surprised there isn't more rolling in the MES.

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  #355 (permalink)
 
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 josh 
Georgia, US
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Random thought -- if markets continue to expand, which is what inevitably happens in a growing economy, do you see a situation in the future where the Micros overtake the Minis in terms of volume traded? The notional value of an emini is 50x the index. At today's levels this is about $150K.

Back when the ES was introduced in 1997, the notional value was about $50K. Though today's notional is only 3x what it was then, it's still quite a jump. Imagine if the S&P doubles in 10 years -- you'd be looking at a $300K notional per contract, which is getting a bit rich.

Another way of saying all this ... a 10-handle move just 10 years ago was a "normal" type of day, and I remember when a 20-handle day felt like a big move. Well, that was at ES 1200 or so, IIRC.

So, I could very well see the Micros, with their $15K notional value, nicely moving into the role of primary vehicle over the coming decade.

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  #356 (permalink)
 
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 mattz   is a Vendor
 
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josh View Post
Random thought -- if markets continue to expand, which is what inevitably happens in a growing economy, do you see a situation in the future where the Micros overtake the Minis in terms of volume traded? The notional value of an emini is 50x the index. At today's levels this is about $150K.

Back when the ES was introduced in 1997, the notional value was about $50K. Though today's notional is only 3x what it was then, it's still quite a jump. Imagine if the S&P doubles in 10 years -- you'd be looking at a $300K notional per contract, which is getting a bit rich.

Another way of saying all this ... a 10-handle move just 10 years ago was a "normal" type of day, and I remember when a 20-handle day felt like a big move. Well, that was at ES 1200 or so, IIRC.

So, I could very well see the Micros, with their $15K notional value, nicely moving into the role of primary vehicle over the coming decade.

Your theory lacks the growth that the markets have experienced not only in their index size and value but what people actually hold. For example, $401K funds are now in an all-time high; hedge funds have more funds than they ever held in history, and every person of legal age can now buy stocks on the phone. So size does matter.

As a result of this growth, the money that institutions move around is quite "heavy", and they need highly liquid contracts of high notional value to move around, and that is what ES provides. Most of the ES movements comes mainly from cash adjustments to portfolios, hedging, and algos that are also heavy in size. Since the large SP futures is non-existent practically, I think we will see sizeable growth in the ES over the years. It does not mean that there will not be periods where ES could see less volume, but as a long term trend, I see it's expansion.

BTW, the more I observe the MES, the more I conclude that the MES is just "food" for arbitrage of algorithmic traders.

Matt Z
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  #357 (permalink)
 illogsamples 
Amsterdam, the Netherlands
 
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Matt,

Could you expand a little about your last alinea regarding the MES?

Sent using the NexusFi mobile app

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  #358 (permalink)
 
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illogsamples View Post
Matt,

Could you expand a little about your last alinea regarding the MES?

Sent using the nexusfi.com mobile app

If you take a look at most of the micros versus the eminis, you will notice a difference of one tick many times.
This creates an arbitrage where you can sell one contract and buy the other.



These are not retail strategies that retail can take advantage of due to latency and in-depth programming. I am not sure how retail gets affected by this, but in a perfect world, they should always be one to one. Spreads are an additional cost to overcome.

Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
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  #359 (permalink)
 
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 sstheo 
Holladay, Utah, USA
 
Experience: Intermediate
Platform: Multicharts
Broker: AMP/CQG
Trading: MES, MYM, MNQ, M2K
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josh View Post
Random thought -- if markets continue to expand, which is what inevitably happens in a growing economy, do you see a situation in the future where the Micros overtake the Minis in terms of volume traded? The notional value of an emini is 50x the index. At today's levels this is about $150K.

Back when the ES was introduced in 1997, the notional value was about $50K. Though today's notional is only 3x what it was then, it's still quite a jump. Imagine if the S&P doubles in 10 years -- you'd be looking at a $300K notional per contract, which is getting a bit rich.

Another way of saying all this ... a 10-handle move just 10 years ago was a "normal" type of day, and I remember when a 20-handle day felt like a big move. Well, that was at ES 1200 or so, IIRC.

So, I could very well see the Micros, with their $15K notional value, nicely moving into the role of primary vehicle over the coming decade.


Very insightful thinking. The micros are awesome. I just wish the RT costs were less.

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  #360 (permalink)
 
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 sstheo 
Holladay, Utah, USA
 
Experience: Intermediate
Platform: Multicharts
Broker: AMP/CQG
Trading: MES, MYM, MNQ, M2K
Posts: 285 since Oct 2012
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I started this new Micro E-mini trading journal last night.

My goal is 1% per day trading with the new CME Micro E-mini contracts: MES, MNQ, MYM.

I am starting with $1000 live funds and will try to take it to $5000 in 165 trading days (8 months) with just 1% per day.

At that point I will strop trading the micros and will use the regular ES, YM, NQ E-mini contracts.

I will use a maximum of 1 contract per $500 in my account.

Starting out, I will try to get 1% or "just" $10 per day and grow that. My total daily profit at 8 months should be $50 per day.

This may seem small, but remember that $10 is the equivalent of $100 on the ES. $50 is the same as $500 in the ES.

Here are my reasons for starting the journal:
  • Show that people don't need the combines of TST, OneUp, LeeLoo, Earn2Trade, etc in order to get started trading.
  • Make the public accountability high enough that I follow all my rules!
  • Show that SLOW GROWTH is still highly profitable long term

You are welcome to follow along to see how it goes. I promise to be fully transparent.

Steve

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