Every futures position is priced off four fixed numbers. The multiplier sets the dollars per index point, the tick sets the smallest move the market quotes, the notional says what the position controls, and the settlement date says how long you have. Everything else on the order ticket is a broker setting you can look up.
The number traders mix into that list is margin. Margin is the collateral your broker asks you to post, and it says nothing about what a trade can lose.
Contract specs that change the math
The four equity index contracts most swing traders use are two products in two sizes. Full and micro share the underlying index and the tick size; only the multiplier changes, by a factor of ten. The index levels in the last column are illustrative.
| Contract | Multiplier | Tick size | Tick value | Notional at index level shown |
|---|---|---|---|---|
| ES (E-mini S&P 500) | $50 per point | 0.25 points | $12.50 | $305,000 at 6,100 |
| MES (Micro E-mini S&P 500) | $5 per point | 0.25 points | $1.25 | $30,500 at 6,100 |
| NQ (E-mini Nasdaq 100) | $20 per point | 0.25 points | $5.00 | $428,000 at 21,400 |
| MNQ (Micro E-mini Nasdaq 100) | $2 per point | 0.25 points | $0.50 | $42,800 at 21,400 |
A four-point ES move is 16 ticks and pays $200. The same four points pays $20 on MES, $80 on NQ and $8 on MNQ. Two traders can agree on direction and have entirely different days.
Index level matters as much as multiplier. NQ's $20 a point is lower than ES's $50, yet the Nasdaq index trades near 21,400 against the S&P near 6,100 at these levels, so one NQ contract controls $428,000 against $305,000 for one ES. Calling NQ the cheaper contract because the multiplier is smaller reads the wrong number.
Both index products quote in a quarter point. That tick is $12.50 on ES, $1.25 on MES, $5.00 on NQ and $0.50 on MNQ. The micro scales a position in increments that would be rounding errors on the full contract.
Initial and maintenance margin
Margin comes in layers. The exchange publishes a maintenance requirement, the collateral it wants behind every open contract, plus an initial requirement a little above it. Your broker applies a markup of its own, so the same ES contract asks for different collateral at two firms on the same afternoon. The requirement scales with notional: one ES carries close to ten times the margin of one MES.
Initial is what must be posted to open a position. Maintenance is the floor that must stay in the account on positions held through the close. Intraday margin is a broker concession that lets you hold a contract during the session against a fraction of the exchange requirement; it can be raised or pulled without notice when volatility jumps or when the firm's book gets too one-sided.
The liquidation rule follows from maintenance. The broker watches account equity against that requirement and closes positions when equity drops under it, at market, without asking. The close is the firm removing exposure it is carrying on your behalf, at whatever price the book offers.
Margin is not your risk
Your risk on a trade is the distance to your stop multiplied by the value of a point. A 10-point stop on one ES contract is 10 × $50, or $500. The same 10-point stop on one MES is 10 × $5, or $50. Nothing about margin enters that sum.
Set the two side by side and the scale shows. Exchange maintenance on one ES sits in five figures at recent margin levels, while some brokers cut the intraday figure to a few hundred dollars for the session, which happens to be the size of a tight ES stop. That coincidence makes the two numbers feel interchangeable, and they are not.
Treating the broker's collateral figure as a risk budget lets one trade take out a month of progress. A 40-point adverse move on one ES is $2,000 and the broker will let you take every dollar of it; liquidation arrives well past the point where your plan said to leave. Margin is sized for the firm's exposure across all clients on a gap.
Sizing from the stop, not the margin
Sizing runs backwards from the stop. Choose the money you are willing to lose on the trade, divide it by what one contract loses at that stop, and take the whole number of contracts that fits.
A $50,000 account risking 1 percent a trade has a $500 budget. With a 10-point ES stop, one contract loses $500 at the stop, so the position is one contract. That one ES at 6,100 controls $305,000 of index, a little over six times the account. Margin makes the position permissible; the stop is what keeps it survivable.
The micro changes the granularity and leaves the arithmetic alone. The same 10-point stop on MES risks $50 a contract, so the $500 budget buys 10 MES, which is one ES in exposure and in risk. Where the micro earns its keep is the partial size: 6 MES risks $300 at that stop and 3 MES risks $150, and neither has an ES equivalent. Half a percent of the account at the same stop is 5 MES, $250, and a stop you can hold without flinching.
NQ divides the same way. A 10-point stop is $200 on NQ and $20 on MNQ, so the $500 budget allows 2 NQ or 25 MNQ. Run the division before you place the order rather than after: the position size calculator does it for you, and the risk management guide covers what to do when the count comes back at zero contracts for the size you wanted.
The intraday margin call
Your stop is an order in the market. A margin liquidation is the broker's order, sent by its risk system, and the two touch when price moves fast enough that equity passes through maintenance before your resting stop gets filled.
Picture one ES held long with a 10-point stop and cash close to the maintenance figure. A headline hits, ES drops 25 points in ninety seconds, and your stop fills three points late for a 28-point loss. The broker's system does not wait for your order: it flattens the position at market the moment equity crosses the line, and if its fill beats your stop to the book you get the liquidation price instead of the one you planned.
Overnight the intraday concession is gone and the maintenance requirement applies in full. A position held for days carries gap risk no stop can cover, because the stop is only tested at the next price the market prints. An event over a weekend that opens ES 60 points lower costs $3,000 per contract, before any stop is touched.
A swing position therefore needs cash above maintenance rather than exactly at it. That buffer is the only thing between a gap and a liquidation at the open, which is why the futures guide treats the overnight session as a different risk environment for position size.
Rollover and expiry
Index futures expire quarterly, on the third Friday of March, June, September and December. Most of the year you trade the front contract, the nearest expiry, and it stops being the liquid one roughly a week before it settles.
That week is the roll window. Volume and open interest migrate into the next quarterly contract, spreads on the front month widen, and the price gap between the two, a handful of index points in quiet markets, is the carrying cost for the later date. Rolling means closing the front and opening the back; rolling your futures contracts covers the mechanics.
Settlement differs by product. Equity index futures settle in cash against a special opening quotation on expiry morning, so holding one to the last day is a calculation rather than a delivery. Plenty of commodity contracts settle physically, which means a contract held into expiry can leave you obligated to take or make delivery of the actual good. If you trade outside the index products, read the settlement terms before expiry week.
The micro makes a partial roll possible. Ten MES can be rolled three at a time or six at a time, while an ES position rolls in one lump. When the plan says cut exposure into the expiry week, micros let you take half the position off in the same instrument.
Costs
Every futures trade pays commission and exchange fees on both sides of the round trip. Retail commission runs a few dollars per contract per side, exchange and regulatory fees add cents on top, and the all-in round trip usually lands in the low single digits. Read your own fee schedule rather than a generic figure.
The cost structure is where micros turn expensive. Most brokers charge close to the same per contract for MES as for ES, so one MES with a tenth of the exposure pays the same round trip. Reaching the $500 of stop risk that one ES gives you takes 10 MES, which multiplies the round-trip cost by ten.
Measure cost against the stop distance rather than the notional. A $500 stop on one ES with a $4 round trip means costs take under 1 percent of the money at risk, small enough to ignore beside the slippage on a fast fill. The same $4 against a $50 micro stop is 8 percent, and a strategy with a thin edge does not survive an 8 percent tax on every attempt. Work the ratio for the stop distance you use before you conclude that the micro is the cheap way in.
