With the S&P 500 and major equity indexes doing nothing more than
continuing their slow grind higher, futures traders are enjoying nice
intraday ranges and weekly swing trades on a variety of currency and
commodity instruments while ES traders are lucky to see 10 handles (40
ticks) in a day.
So on days the ES is slow, what futures instruments provide
volatility and trading range opportunities? We analyzed some of the
more popular futures contracts favored by traders based on their average
20-day volumes. We ignored futures contracts that did not trade at
least 1,000 contracts consistently for the past 20 days.
To approximate intraday volatility potential, we take a look at a 20-day moving average
for daily average true range (ATR). Since not all futures
contracts are created equal, we then "dollarize" the ATR of each futures
contract based on tick size and tick dollar value.
For example, the British Pound (6B) is known to be a volatile futures
contract with nice ranges – a daily average range of 166 pips!
However, the Euro futures contracts (6E) offers larger dollarized
intraday ranges since each 6E pip has a dollar value ($12.50) that's twice as
much as 6B (only $6.25).
We highlight some of the most popular futures contracts to see how
they stack up against others. The results are interesting, with some
instruments moving more in a day than ES moves in a week. Since there's
no point in trading any instrument that lacks sufficient volume and
liquidity, click here to launch a view sorted by average daily contract volume.
DISCLAIMER
To be clear, this is NOT a recommendation or endorsement to trade any
futures instruments. Click here to read our full disclaimer.
It is simply a study in dollarized daily ranges. It is critical to
grasp several points:
- Larger dollarized ranges involve greater risk.
- Different futures contracts CANNOT necessarily be traded using the
same setups and techniques as ES. - Futures can neglect all kinds of perceived technical levels.
- Futures can cause inexperienced traders to lose more capital than
they realize is at risk. - Different futures instruments trade during different market sessions
and can behave completely differently during various times throughout a
24-hour trading day. - Futures contracts can suffer stop runs and unacceptably wide bid/ask
spreads, especially those with less liquid trading volumes. - Past performance and any statistics are no guarantee of future
results. - Any trades without proper risk management will eventually cause
harm.
