Despite the E-S&P 500 annual volume decreasing about 3.50% in 2013, the E-mini S&P ($ES_F on Stocktwits ) remains the granddaddy of day trading markets – with daily volume standing around two million contracts currently.
Liquidity Factor
Compare that with the E-mini Russell at 113,000, Nasdaq at 248,000, and the Dax at 29,000 and you can see why most traders gravitate towards the E-mini. More volume = more traders on both sides = tighter bid/ask spreads, or said another way —good liquidity.
But while there is no argument that the E-mini SP is the most liquid market, does that really make it the best day trading market? Volume is good and all, but is the most liquid market also the market that offers the best trading ranges or most bang for the buck. Switching our view to look at the growth of range in various stock index futures, we can see the E-mini Russell leads the pack with a 47% gain in the average true range (ATR) last year (versus 18% in the Nasdaq, 11% in SP, and 11% drop in the Dax).
If day trading to you is buying or selling, holding for several minutes to hours, then getting out by the end of the day —the bid/ask spread isn’t necessarily the most important metric to look at. How far, in dollars, a market moves on average can be of more importance. If you’re measuring which market gives you the most opportunity, or the Dollar Range, the E-mini Russell 2000 comes out on top again, with an average dollar range 1.77 times that of the emini SP.
The Bottom Line
Now, this dollar range concept does have limitations. For one, the market still needs to be affordable for the trader – we can’t just all go trade platinum or the full size S&P because they have larger dollar ranges. The ideal day trading market would offer an affordable price per point ($20 to $100) AND a large dollar range for that point value AND tight bid/ask spreads. The shortlist of markets matching that are: the E-mini Russell, the E-mini S&P, and the EuroStoxx.
