Volume and Open interest of some CME contracts
Looking at the numbers helps us figure out what goals to other market participants have? Do they rollover their positions alot? How far do they project themselves?
Do they hold for months of exit after just a few days?
We can see the volume of Oil popping off when the expiry is close as traders, for example terrible ETFS, close and re-open the next month and I am suspecting much of this volume are front running algos taking advantage of these rollovers.
The S&P is looking more like a casino of short term gamblers than ever.
And the EURUSD sees much holding relative to trading, there are no day traders in FX which echoes with the BIS report showing trader's timeframe (almost all retail investors day gamble or "swing" gamble < 7 days but they represent only 5% of the FX market maybe even less).
Other notable futures: Gold with a volume of 185 thousand contracts this Monday, and open interest of 472 thousand split almost evenly between the "front" month (in practice the April contract) and June one.
10 year T Notes have an open interest of 3,780,235 contracts (378 billion usd) I think this is the second highest one.
10 year T Notes options also have an open interest of over 3.5 million.
The total volume is close to 2 million for futures & 500k for options. So about 250 billion USD.
I think the third biggest contract in usd terms is the e-mini S&P 500, with a daily volume typically around 3-3.5 million (> 500 billion usd). The contact volume is about the same it has been for years but the usd value has almost doubled from when the S&P was lurking in the depth at close to 2000 points.
Open interest for the S&P is at 3 million for futures + 500k for options, it's sitting at around the same value as the ADV.
This is the era of day traders...
The largest contract is not even close. Seriously these numbers make my head turn.
It's the Eurodollar (the future that represents the London interbank rate).
The daily volume hoovers around 2 - 2.5 million contracts (I'm guessing around 700 billion usd).
The open interest is eye popping at 25-35 million contracts (Friday it was at 11.8 million futures & 20.9 million options), it's half the GDP of China.
Do they hold for months of exit after just a few days?
We can see the volume of Oil popping off when the expiry is close as traders, for example terrible ETFS, close and re-open the next month and I am suspecting much of this volume are front running algos taking advantage of these rollovers.
The S&P is looking more like a casino of short term gamblers than ever.
And the EURUSD sees much holding relative to trading, there are no day traders in FX which echoes with the BIS report showing trader's timeframe (almost all retail investors day gamble or "swing" gamble < 7 days but they represent only 5% of the FX market maybe even less).
Other notable futures: Gold with a volume of 185 thousand contracts this Monday, and open interest of 472 thousand split almost evenly between the "front" month (in practice the April contract) and June one.
10 year T Notes have an open interest of 3,780,235 contracts (378 billion usd) I think this is the second highest one.
10 year T Notes options also have an open interest of over 3.5 million.
The total volume is close to 2 million for futures & 500k for options. So about 250 billion USD.
I think the third biggest contract in usd terms is the e-mini S&P 500, with a daily volume typically around 3-3.5 million (> 500 billion usd). The contact volume is about the same it has been for years but the usd value has almost doubled from when the S&P was lurking in the depth at close to 2000 points.
Open interest for the S&P is at 3 million for futures + 500k for options, it's sitting at around the same value as the ADV.
This is the era of day traders...
The largest contract is not even close. Seriously these numbers make my head turn.
It's the Eurodollar (the future that represents the London interbank rate).
The daily volume hoovers around 2 - 2.5 million contracts (I'm guessing around 700 billion usd).
The open interest is eye popping at 25-35 million contracts (Friday it was at 11.8 million futures & 20.9 million options), it's half the GDP of China.