Tuesday, June 5, 2012

Bang for the Buck

In looking at other contracts to potentially trade, I decided to look at how much bang you get for your buck for day trading.  I looked at the past 21 trading days to get the averages.  I only looked at the range during the hours 8:30am - 3:15pm CST for all contacts (even though CL and 6E fall a bit out of that range for pit sessions I wanted to compare identical timeframes).

                                          ES            NQ          YM           TF           CL          6E
Avg. Daily Range (ticks)      69            160         133           134         160          69
$/tick                                12.5             5             5             10          10         12.5
Avg. $Range/contract        $859        $799        $667       $1341     $1602        $858

Take this for what it's worth! Obviously factoring in volatility, commissions and liquidity/slippage are considerations too....
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9 comments:

  1. AlegnusJune 5, 2012 at 4:21 PM

    I think FDAX has the highest range/commission ratio. $2500 range today @ <$3 RT.

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  2. MBAGearheadJune 5, 2012 at 4:52 PM

    Thanks Alegnus, I don't get that on my data subscription to Ninja and not even sure what my commission is on that. At €12.50/tick that's about $15.56/tick currently. I just looked up OEC's margin requirements and its day trade margin is $7900! WOW. That's a lot higher than the $500 on YM, NQ, YM and $660 on TF.

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  3. PipJaegerJune 5, 2012 at 6:35 PM

    FDAX is inexpensive in terms of comission, and it does move a lot, but it can be very volatile.

    You can probably accomplish everything you need with NQ, TF, CL and YM. If you need REALLY high volume ES, but it doesn't move much.

    ReplyDelete
  4. UnknownJune 5, 2012 at 8:45 PM

    MBA, thanks for starting this post, I have also been wondering what other markets I could look into trading other than the YM. Also looking for other markets that trend very well and are not too volatile do to low volume.

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  5. MBAGearheadJune 6, 2012 at 1:45 PM

    Trin, you might want to look at Gold too. Endless possibilities! Pork bellies? LOL

    ReplyDelete
  6. UnknownJune 6, 2012 at 8:23 PM

    Thanks MBA, I will also look into Tulip Futures. lol

    ReplyDelete
  7. AlegnusJune 6, 2012 at 9:27 PM

    As with any symbol you need to eliminate your emotional attachment to money, especially with FDAX.

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  8. RL8093June 8, 2012 at 9:22 AM

    Probably a good first cut but I suspect CL is somewhat high due to recent cascade & 6E seems a bit low. With small tick size, YM is usually a bit easier for me to trade than ES. However, I've been quite happy with CL for a while now - although I typically extend my trading into pre-open by a few hours.

    I've also heard a lot about FDAX - at some point I need to do some in-depth research as a backup to CL.

    R

    ReplyDelete
  9. coryJune 8, 2012 at 10:07 AM

    2 rooms I am in OrderFlowEdge and TradersHelpDesk don't even bother with Monday or Friday. They only offer free room Tues-Thursday.

    ReplyDelete

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