Nasdaq Market Guide and Volatility Analysis white paperThe e-mini Nasdaq Market Guide and Volatility Analysis has been released.  This in-depth white paper on the e-mini Nasdaq identifies the symbols for both TradeStation and NinjaTrader (including the continuous symbol), tick value, volume analysis by year, daily average and hour, as well as the typical tick movement on a daily average, quarterly and hourly basis.

Nasdaq Market Guide and Volatility Analysis Summary

The Nasdaq Market Guide and Volatility Analysis clearly identifies that volume has decreased significantly since 2008, when the market crashed.  In fact, according to the  volume statistics, trading volume is still forty million contracts less than in 2008.  Although 2014 shows a slight increase over 2013, 2015 decreased again.  Could it be that the potential Fed Rate hike scared traders from the markets?  Only time will tell at this point but liquidity is definitely lower than it was prior to the market crash and subsequent years (2009, 2010 and 2011).

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Although the hourly volume studies show that during January, February (opening only), August, September, and October there are more than one thousand contracts traded during the Asian sessions, the remainder of the months, March, April, May, June, July, November and December show very few contracts traded during Asia.  The hourly volume studies definitely show that the e-mini Nasdaq is the most liquid during the US session, with only a slight decrease during the summer months.

The most surprising find is that although volume has decreased substantially, movement has actually increased as shown on the average tick movement by year — even surpassing 2008.  In other words, although volume is lower, movement is higher.  Additionally, unlike most of the other markets, the slowest period for the e-mini Nasdaq is the second quarter and the highest movement is actually in the fourth quarter of the year, followed by the first quarter.  And, the third quarter is only slightly less than the first and second.

White Paper

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