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At 09:35 PM 4/3/1999 +0200, hans esser wrote:
>> >>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
>> >
>> >
>> >
>>
>> One way to determine the slip factor is to find somebody that monitors
>> such things closer than the average person would. Chuck Le Beau uses $100
>> cost factor for bonds and $150 for S&P. I think Chuck tries to be as
>> honest as he can with these figures and they appear reason for an average.
>>
>> Robert
>
>
>Again I would suggest to compare differently, consider DAILY ranges
>
>in DAILY ranges:
>
>BONDS have often 1-2 bps range = $1000-2000
>S&P often has 20-30bps = $5000-7500
>
>or in TICKS (= minimum increment the instrument can move)
>
>bonds = 32-64
>S&P = 200-300
>
>so if S&P had 6times more "movement" I consider SLIPPAGE less for
>S&P.......even it might be 2,3 or so TICKS and bonds would be 1
>
>rgds hans
>
>
Well under those circumstances your looking at leverage as the deciding
factor. Again my choice would be bonds because of margin requirements. S&P
margin is $20625 and bonds are $2700. I can trade 7 times more bonds to
your 1 S&P.
Robert
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