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RTY (E-mini Russell 2000 futures)

The CME E-mini future on the Russell 2000 small-cap index, $50 per index point with a 0.10 tick worth $5.

RTY is the small-cap leg of the index complex and the standard instrument for expressing a view on domestic, smaller, more rate-sensitive companies against the large-cap es. It is materially more volatile than the S&P, so equal contract counts are not equal risk.

It is also the usual cross-hedge for a small-cap equity book, and the short leg of the widely traded large-cap-versus-small-cap intercommodity-spread. The annual Russell reconstitution in June produces enormous volume as index funds rebalance.

Example: index at 2,240, one contract is 2,240 x $50 = $112,000 notional. A 1.5% day is 33.6 points, or $1,680 per contract, against about $950 on one ES contract in a 1.0% S&P day.

Related: es, equity-index-futures, intercommodity-spread, cross-hedge, micro-futures

See it drawn

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

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.

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