Analyse the market microstructure of both the Equity Index Futures and the underlying ETFs & Equities to generate predictive alpha from BMLL Level 3 Data. Analyse how your portfolio's hedging strategies are impacted by volatility in the futures markets and optimise your trading strategy around roll dates and whether to start legging early via the outrights, implieds or stick to spreads.
The BMLL Data Lab supports Equity Index traders with deep Level 3 coverage of the underlying equities & ETFs products in the same format as the futures allowing quants and traders to run analyses on both products simultaneously. For example, Market impact & Asymmetric Market impact analysis of the e-Mini & SPY ETF to better manage risk across your positions.
Analyse how these impacts will change with the arrival of micro futures contracts and how retail traders impact the core ETF & equities dynamics.