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The equity index contracts: ES, NQ, YM and RTY

Lesson 6 · about 10 min

The four US equity index futures and their micros are where most retail futures trading happens. They share hours, expiration cycle and settlement rules, so once you know one you know the mechanics of all four. What differs is the size of the contract, the size of a typical move and, as a result, how much a "normal day" costs.

The spec table

Contract Index Tick size Tick value Point value Micro Micro tick value Micro point value
ES S&P 500 0.25 $12.50 $50 MES $1.25 $5
NQ Nasdaq-100 0.25 $5.00 $20 MNQ $0.50 $2
YM Dow Jones Industrial 1.00 $5.00 $5 MYM $0.50 $0.50
RTY Russell 2000 0.10 $5.00 $50 M2K $0.50 $5

Three things to notice. NQ, YM and RTY all have a $5 tick, but their tick sizes are 0.25, 1.00 and 0.10 respectively, so their point values are $20, $5 and $50. RTY has the same point value as ES but ticks in tenths. And YM is the only one where a tick and a point are the same thing.

Notional and what a 1% day costs

Notional = index level × point value. The index levels below are illustrative; use today's.

Contract Level Notional 1% move in points 1% move in dollars
ES 5,000 $250,000 50 $2,500
MES 5,000 $25,000 50 $250
NQ 18,000 $360,000 180 $3,600
MNQ 18,000 $36,000 180 $360
YM 40,000 $200,000 400 $2,000
MYM 40,000 $20,000 400 $200
RTY 2,000 $100,000 20 $1,000
M2K 2,000 $10,000 20 $100

The "1% move in dollars" column is the one to internalize. It is the same number as 1% of notional, which is a useful sanity check: if a 1% move in a contract is more than a few percent of your account, the contract is too big for you regardless of what the margin says.

Notional also tells you that NQ is not "like ES but faster". At these levels it is 44% more exposure per contract and, because the Nasdaq-100 is more volatile than the S&P 500, a typical NQ day in dollars is roughly twice a typical ES day.

Typical daily range in dollars

Volatility changes constantly, so treat these as orders of magnitude, not facts. A quiet year might see the S&P move about 0.7% on an average day; a stressed period, 2% or more. Convert each to dollars:

Contract 0.7% day 1.5% day 2.5% day
ES $1,750 $3,750 $6,250
MES $175 $375 $625
NQ (at 1.2× the S&P's %) $3,024 $6,480 $10,800
MNQ $302 $648 $1,080

A rule from the risk course applies directly: the average day's range in one contract should be a small share of your account, something like 5% to 10% at most. On a $5,000 account, one MES on a normal day is 3.5% of the account and one ES is 35%. The choice makes itself.

Ticks, spreads and slippage

ES almost always trades one tick wide with thousands of contracts on the bid and offer during regular hours. MES is the same price but its own order book, usually also one tick wide but thinner. NQ and MNQ are one tick wide most of the day, but the tick is only $5 and $0.50 and the index moves faster, so a "one tick" spread on NQ is a smaller share of a typical move than one tick on ES.

Where this bites is stops. A stop order becomes a market order when touched, and in a fast market the fill can be several ticks past the trigger. On ES in normal conditions expect zero to one tick of slippage; during a news release or a sharp move, four to ten ticks is common. Ten ticks of slippage is $125 on ES and $12.50 on MES. Build one to two ticks of expected slippage into every stop's dollar risk.

Key idea: All four index contracts have quarterly expiry, cash settlement and the same hours; what differs is notional and volatility. Convert a 1% move into dollars for each contract and compare it to your account before you ever look at margin.

Choosing between them

There is no best index contract. ES is the deepest and most forgiving on fills. NQ moves more per contract and rewards or punishes faster. RTY is thinner and more prone to slippage. YM has the smallest point value and a one-point tick, which some traders find easier to think in. The micros let you trade any of them at one-tenth the size, so the honest advice is to pick one, trade its micro until your log says your edge is real, and ignore the others.

Try it: Take today's index levels and rebuild the notional table above for ES, NQ, YM and RTY. Then take your actual account balance and compute what percentage of it a 1% move in one micro of each would be. Circle any contract where the answer exceeds 5%.

Recap

  • ES: 0.25 tick, $12.50/tick, $50/point. NQ: 0.25, $5, $20. YM: 1.00, $5, $5. RTY: 0.10, $5, $50. Micros are one-tenth.
  • Notional = level × point value; a 1% move in dollars is 1% of notional.
  • NQ carries more notional and more volatility than ES; a typical NQ day is roughly twice an ES day in dollars.
  • Compare one contract's average daily range to your account; keep it to a small percentage.
  • Budget one to two ticks of slippage on every stop; more around news.

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

Slippage on a market orderA buy order clears four price levels, so the average price paid is worse than the price first quoted.Buy 1,000 shares at marketpricesell orders resting (bar length = size)20.04300 shares20.03200 shares20.01200 shares20.00300 sharesnothing resting at 20.02order sweeps up the bookaverage fill 20.02SLIPPAGE0.02 a share$20.00 in totalintended 20.00Each level fills at its own price; the average is what you really paid.
Slippage on a market order. You click at 20.00, but only 300 shares are resting there, so the rest of the order fills at 20.01, 20.03 and 20.04. The average price paid is 20.02, and that two-cent gap is slippage.
A range beside a trendOne chart swinging between a flat floor and ceiling, another stepping upwards inside a pair of sloping lines.Range-boundresistancesupportprice bounces between two levelsTrendingthe trend channelhigher highs and higher lowsA range has two flat edges; a trend has two sloping ones.
Range versus trend. On the left price keeps bouncing between the same floor and ceiling, which is a range. On the right each high and each low is higher than the last, inside a pair of sloping lines called a channel.
Bid-ask spread in an order bookSell orders stacked above buy orders with a gap between the best of each.SELLERS (asks)50.0690050.051,40050.0460050.011,10050.002,30049.99800spread = 0.03BUYERS (bids)
The bid-ask spread. Buy orders sit below, sell orders above, and the gap between the best bid (50.01) and best ask (50.04) is the spread you pay to cross. Bar length shows the size resting at each price.