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CostFutures5 min read

Liquidity by the Hour: Where Futures Execution Costs Live

The regular session and the overnight session are different markets wearing the same ticker.

94%
automatable
Low
ongoing effort
Cost
angle

The two books

Depth in the major index and rate futures concentrates in the regular session. Overnight, the book thins dramatically — the same order size that moves price imperceptibly at midday can move it several ticks at 3am.

The scheduling win

Restricting execution to liquid hours is a pure cost reduction available to any strategy whose holding period is longer than a day. It requires no forecasting and no additional risk, which makes it one of the few genuinely free improvements on offer.

When it cannot be done

A stop that must be honoured overnight will be filled in the thin book, and no scheduling fixes that. Strategies holding through the overnight session are accepting overnight execution quality whether or not they trade in it.

Educational, not directive. This is analysis of how a market behaves, not a recommendation to act in it. Strategy detail with conviction scoring and live sample sizes lives in the vault.
More on Futures
Roll Yield: Getting Paid by the Shape of the CurveA futures position earns or loses simply by moving through time, independent of the price of the underlying.The Overnight Gap and the Fundamental ExceptionMost index-futures gaps fill during the session. The ones that do not are the ones that matter.Margin Efficiency: The Quiet Advantage of the Futures MarketFor the same exposure, futures typically tie up far less capital than the cash equivalent. Idle capital has a return.