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At 02:52 PM 4/3/1999 +0200, hans esser wrote:
>
>Robert W Cummings wrote:
>
>> Bonds seemed to have the least slippage of any futures market
>> I've traded...
>
>hmmmm....consider BONDS at 125 and S&P at 1250 for simplicity:
>
>in bonds 1 tick slip is $31.25
>in S&P 1 tick slip is $ 25 = LESS (if it would be 1 tick only)
>
>in bonds 1 tick slip 125.00 -> 125.03125 = 0.025%
>in S&P 1 tick slip 1250.00 1250.10 = 0.008%
>
>
~~~~~~~~~~~~~
>to have more slip in S&P than in bonds you must have more than 3 ticks
slip on
>average......do you ?
>
>rgds hans
>
I would have to guess that it does based on volatility in both markets. S&P
moves in 50 to 100 points ticks during fast markets and the bonds generally
trade at one tick intervals even during fast markets. During normal times
and execution time being equal the S&P would have the advantage due to this
per cent factor you've pointed out.
Robert
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