Futures Market Correlation: Reading ES, NQ and RTY Together

When ES makes a new high and RTY doesn't, is that a warning or just a different index? Equity index futures mostly move together, so the interesting part is when they don't. The honest answer to the opening question is that it depends on a baseline you have to measure, and then on a rule you have to test.

What each contract represents

ES tracks the S&P 500, a broad index of large US companies. NQ tracks the Nasdaq-100, which is weighted toward large technology and growth companies. RTY tracks the Russell 2000, a small-capitalization index with a different sector mix. YM tracks the Dow Jones Industrial Average, which has 30 stocks, so single names matter more. Each has its own multiplier: ES is $50 per point, NQ is $20, and the micro versions MES and MNQ are $5 and $2. Because the indexes are built differently, their percentage moves differ even on a calm day.

Measure your own baseline

Ratios like 'NQ moves 1.5 times ES' get quoted a lot, but they change with market conditions and I haven't verified a stable number. Calculate it yourself:

1. For each session over a window you pick, such as the last 20 sessions, record each contract's percentage change from the same reference time to the same end time. Use the same expiry month for both, since contracts roll on different dates.
2. Divide NQ's percentage change by ES's. Do the same for RTY versus ES.
3. Look at the typical range of those ratios and at how it shifted over the window.

Suppose, hypothetically, ES is up 0.6% and NQ is up 1.2% on a day, a ratio of 2.0. If your own recent baseline is about 1.5, today's relative strength in NQ is unusual for your window. That's a fact about the day. It doesn't tell you what happens next.

What divergences might mean

These are common interpretations, to be treated as hypotheses.

• NQ stronger than ES: large technology names are driving the move. A broad rally and a narrow one can look the same on the ES chart alone.
• NQ weaker than ES: technology is lagging, possibly from rate or earnings news.
• RTY lagging while ES rises: some traders read this as a narrow advance with less participation from smaller companies. Smaller firms are often more sensitive to domestic credit conditions, which is one reason people watch RTY. That is a reason to look, not evidence that divergences predict anything.
• All four moving together: broad participation, which is a description of the day rather than a trade signal.

A simple intraday check: if ES prints a new session high while RTY stays below its own session high, note it. You can pass, reduce size, or treat it as a prompt to wait for confirmation. Which of those works best, if any, is what testing is for.

A pre-market routine

Spend a few minutes before the 9:30 AM ET cash open comparing the overnight moves in ES, NQ and RTY. Check whether they point the same way, whether NQ's percentage change is far from your measured ratio, and whether RTY is following. Note the answers in your plan. You aren't making a prediction. You're recording the state of the market so you can review later whether it mattered.

NinjaTrader setup

In NinjaTrader 8, a Market Analyzer window can list several instruments with columns such as last price and percentage change, which lets you see alignment at a glance. Use the same contract month for each. The columns available depend on your version and data feed, so confirm them in the official NinjaTrader 8 help guide.

Matching size between contracts

If you compare or pair two contracts, equal contract counts don't mean equal exposure. Using hypothetical levels, ES at 4,500 is $225,000 of notional per contract, and NQ at 18,000 is $360,000. The ratio is 360,000 / 225,000 = 1.6, so about five NQ contracts match the notional of eight ES contracts. Notional matching isn't the same as matching volatility or beta, and a spread can widen for a long time. If you ever trade a spread, size it for that case.

Bond futures as context

Treasury futures such as ZN (10-year) and ZB (30-year) trade inversely to yields, so rising bond prices mean falling yields. Many traders watch them for context around rate news, and growth-heavy indexes like NQ are often discussed as rate sensitive. The stock and bond relationship has changed sign across different periods, so use it as a question to ask, not a rule.

Testing a divergence rule

1. Define a divergence in numbers: for example, ES makes a new session high and RTY's percentage change is below your threshold at that time.
2. Record every occurrence over a long period, and what ES did over a fixed window afterward.
3. Include commissions, slippage, and the fact that stop orders can fill worse than planned.
4. Check the result on a period you didn't use to set the threshold.

A small sample doesn't establish an edge, and signals that look good in-sample often fade. Cross-market data is context. It's most useful when it makes you decline a trade you'd have taken out of habit, or reduce size when your inputs disagree. The edge calculator can help you check what win rate and payoff your own results imply.