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Eminis vs standard contract


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Eminis vs standard contract

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  #1 (permalink)
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How closely do the eminis mirror the standard contracts in price?

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The eminis are the 'standard' contract. If you mean how closely do the new micros mirror the minis, then very closely as they have the same tick size. (Unlike say the standard Crude contract and the the mini version of that which have different tick sizes). Open the respective equity index graphs and you won't see a difference.

If you had CME data for the ES, NQ or CBOT for the YM, and added that and their respective micro to a quote board the price would be the same almost completely 99% of the time due to arbitrage. The only difference between them being the amount of volume traded and the depth in the book.

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matthew28 View Post
The eminis are the 'standard' contract. If you mean how closely do the new micros mirror the minis, then very closely as they have the same tick size. (Unlike say the standard Crude contract and the the mini version of that which have different tick sizes). Open the respective equity index graphs and you won't see a difference.

If you had CME data for the ES, NQ or CBOT for the YM, and added that and their respective micro to a quote board the price would be the same almost completely 99% of the time due to arbitrage. The only difference between them being the amount of volume traded and the depth in the book.

Okay so really no need to check the standard contract for any reason? Would vwap and volume profile be the same?

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TickedOff View Post
Would vwap and volume profile be the same?

This is the NQ chart and the MNQ chart for right now 4:24am Eastern (European session 5 hours before RTH open). The charts include one day of data so also show yesterdays RTH session. The orange line on the chart is the VWAP.



The DOMs also have the VWAP, orange price level, so slightly different by a few ticks but it will probably be matching as more volume goes through. I added volume profile to the DOMs which are similar shapes. The volume profile doesn't include the numbers for the amounts.
The main diffreence between the DOMs though is the orderbook. The RTH session is the same in that the MNQ always has a few hundred contracts sat four or five points pretty consistently above and below the current price. The NQ orderbook is normally distributed with size sometimes sitting in the book as normal.
So if using time based charts you can chart with MNQ, but if using volume bars or similar I would chart with the NQ. If using a heatmap style chart, like Bookmap, then definitely chart the NQ (placing orders on an MNQ DOM), as the MNQ heatmap is useless as the size just follows price up and down like a price band.



Edit: In reference to your previous post, I only have the NQ DOM up for comparison in the picture. Trading I have an MNQ DOM only. Same with the charts, the NQ one just for this post's picture.

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TickedOff View Post
How closely do the eminis mirror the standard contracts in price?

Not sure what you mean with standard contract, but I guess you mean the Pit-contract. Most pit's have closed year ago, the S&P pit is still available, but they only trade round about 1500 contracts/day, so it will not help you for tech analysis.

The value of the S&P pit contract is 5times the ES ($ 250.--/point) and moves in 0.1 increments (= $ 25.--/tick)

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@TickedOff
It's a quiet morning. As your profile says you trade the ES, here are the DOMs for the MES and ES. The shadowing in the order book isn't particularly obvious in the MES compared to the MNQ. At least at this moment in time (5:30 am Eastern, European morning).

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TickedOff View Post
Okay so really no need to check the standard contract for any reason? Would vwap and volume profile be the same?


tr8er View Post
Not sure what you mean with standard contract, but I guess you mean the Pit-contract. Most pit's have closed year ago, the S&P pit is still available, but they only trade round about 1500 contracts/day, so it will not help you for tech analysis.

The value of the S&P pit contract is 5times the ES ($ 250.--/point) and moves in 0.1 increments (= $ 25.--/tick)

I was going to say something like this, but @tr8er beat me to it.

What is also called the "big contract" is hardly traded any more. It's the last (or maybe one of the last) of the pit-traded contracts, with little volume.

You really don't want to even know anything about this thing. It would just be attention spent on something that won't make any difference to you. As @matthew28 has pointed out, arbitrage (traders buying and selling two products that are similar but that have a price difference) is going to eliminate any meaningful difference between them, even if one is as spottily traded as the big contract is.

This would be an unnecessary complication. You could trade it as well as use it for the data, but look at the size. That's why the eminis took over and have the volume.

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bobwest View Post
What is also called the "big contract" is hardly traded any more. It's the last (or maybe one of the last) of the pit-traded contracts, with little volume.

https://www.cmegroup.com/trading/equity-index/us-index/sandp-500_quotes_settlements_futures.html
1,336 contracts traded yesterday, versus over 1.8 million for the ES.
I wonder why they still keep it open and also why the people who do trade in it choose that over the ES.

Looking at the numbers. Interesting 'fun fact'. There are 1,380 minutes in a 23 hour day, the length of time the CME exchange is open. Yesterdays 1,840,000 contracts divided by that equals an average of 1,333 contracts/minute.
So the average volume traded in 1 minute on the ES equals the whole days volume traded on the big contract.
Interesting to me anyway

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matthew28 View Post
https://www.cmegroup.com/trading/equity-index/us-index/sandp-500_quotes_settlements_futures.html
1,336 contracts traded yesterday, versus over 1.8 million for the ES.
I wonder why they still keep it open and also why the people who do trade in it choose that over the ES.



Me, too.

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