Using futures market data

Market data is the set of data a futures broker or exchange provides to traders. Traders rely on market data to assess futures markets while opening, managing, and closing trades. If you want to trade futures successfully, correctly analyzing and interpreting this data is a must.

On the Robinhood app, traders have access to market data in the chart and Stats section including:

• Last price
• Current bid and ask prices (along with their sizes)
• Net change for the current trading day
• Percentage change for the day
• Volume of contracts traded today
• High and low price for the trading session
• Previous settlement

Example

Let’s say you’re thinking of placing a trade on E-Mini S&P 500 futures (/ES). You put the underlying in on your Robinhood app and see the following information: /ESZ24, Bid: 5773.50 (x21), Ask: 5773.75(x46), Net Change +12.25, Volume: 591,978.

This means that 21 contracts are looking to buy (bidding) at 5773.50 and 46 contracts are looking to sell (asking) at 5773.75. /ESZ24 is currently up 12.25 points from where it settled on the previous day, and 591,978 contracts have traded so far today.

The last price is the most recent traded price of a specific futures contract. Similar to stocks, the last price can change quickly during the trading day, particularly in contracts with high volume and liquidity. After the market for a futures contract closes, the last price will remain displayed. When the next session begins, the last price will start updating again.

Net change indicates how much higher or lower the futures contract is trading compared to the previous day’s settlement price. On slower days, the net change will probably be smaller—that means you’ll likely see a smaller difference from the previous settlement and the last price.

Volatile days can cause big shifts between the previous day’s and the current day’s prices, leading to a large net change. Keep in mind, the net change of a futures contract resets when the contract reopens for evening trading, which can be in the middle of the day. This nuance can catch some traders off guard, because they’re used to seeing net change for stocks or options reset at midnight.

Percentage change is just another way to look at the net change as a percentage. It’s a valuable piece of data because it lets traders make an apples-to-apples comparison of price movement between different futures contracts.

The bid and ask prices are arguably the most important pieces of information needed to trade futures. The bid price is what the market is currently willing to pay for the underlying futures contract. The ask price (also called the asking price, or offer price) is how much the market is willing to sell the underlying futures contract for. Put another way: if you’re trying to sell a futures contract, you’d look at the current bid price as the best available price in the market at that moment. If you’re trying to buy a futures contract, you’d look at the ask price.

The bid-ask spread is the difference between the bid and ask prices. Traders also call this the “width of the market” and it’s a key indicator of market liquidity (along with size). In a liquid market, a trader can expect the bid and ask to be close together, as much as one “tick” apart. In less liquid markets, the distance between the bid-ask spread may be wider. Traders usually seek out markets with high liquidity and tight bid-ask spreads to reduce their indirect cost of trading.

Size indicates how many contracts are bid or offered at current prices. For example, if the current size is 30 x 40 on the bid and ask, that means 30 contracts are currently “bid” at that price and 40 contracts are currently “offered” at the asking price. So if you were looking to buy at the current ask price, you’d find 40 contracts for sale at that price. Likewise, if you were looking to sell contracts, you'd see 30 contracts that other traders are willing to buy at the current bid price.

Size is important because it gives a sense of how deep or “liquid” the market is at the current bid and asking prices. For traders with larger accounts who are looking to trade many contracts in a single order, size is a key piece of market data—that’s because their entire order may not fill at the current bid or ask price. This is what causes the market to ultimately change in price over time.

Volume is the total number of futures contracts that have been traded within a particular timeframe. Monitoring trading activity through volume statistics can help traders gauge total participation in the market and spot possible trends. High volume shows that buyers and sellers are really engaged, which can give traders more confidence that a trend will continue. Low volume can mean a trend is relatively weak. Low volume can also potentially be a sign of low liquidity, and vice versa. In this way, futures volume can offer insight into how easily you can get in and out of the position.

Open interest is the number of contracts that buyers and sellers in a futures contract have opened and not yet closed out. It’s a running total. For example, if on a given trading day, traders (long or short) opened a total of 100 contracts in a futures product and closed a total of 25, the running total of open interest would increase by 75 (100 - 25 = 75). Like volume, open interest can be an important indicator of liquidity because high open interest typically suggests active buying and selling of contracts. Note: this data point is not currently available in the Robinhood app for futures.

High is the highest price the futures contract hit on the most recent trading day. The low is just the opposite: it tells you how low a futures contract dipped during the trading day. This info can be very useful because it captures the volatility of any given day. The bigger the difference between high and low—also called the “range”—the more volatile the market.

The previous settlement is the listed closing value of the futures contract. Daily settlement refers to the contract’s settlement price each day, while final settlement is the value of the contract at expiration. The settlement price of a futures contract isn’t necessarily the last trade price of the day—you might notice this is pretty different from the way equities and options markets work. Futures settlement times depend on the specific underlying. For example, while gold futures (/GC) settle at 12:30 p.m. CT, the E-mini S&P 500 (/ES) settles at 3:00 p.m. CT. Be sure to understand these differences in settlement times before entering into a specific futures contract.

Enhanced trading tools available today can often help traders analyze and act on market data. For example, futures traders often use a price ladder so they can quickly place and edit orders at different price levels. Features like Level 2 market data can also be displayed on a trading ladder to show market liquidity, which is referred to as the “depth of market.” Experienced traders use a trading ladder with Level 2 data to get a sense of the current market and where prices might go in future.

Level 2 data offers an in-depth view of the order flow for a financial instrument, like futures. It includes real-time bid and ask sizes at various price levels. The futures ladder, pictured below, is a common tool for seeing Level 2 data. Bids are on the left-hand side below the current price. Asks are on the right-hand side, above the current price. These values will update quickly as open orders to potentially buy or sell are filled, added, or canceled by market participants.

Level 2 data can show where large numbers of open orders to buy or sell are in the market at any point in time. Seeing these orders can help a trader figure out more precisely when to enter or exit their position. Using Level 2 data in tandem with other indicators can help paint a clearer picture of potential price movement and gauge current market sentiment at any given price.

Futures market data helps traders track a specific market. While different traders may look at different information when placing a trade, most will use some combo of market data to make decisions.