INTEREST RATE TRENDS AS OF FEB. 28, Largest Trades of February 2013

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Phillip Harrison
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1 INTEREST RATE TRENDS AS OF FEB. 28, 213 Largest Trades of February 213 1

2 EURODOLLARS Average Daily Volume 2 GE Green bars represent rolling average values as of end of month and yellow curves represent recent time history. Trading volume for eurodollars decreased along all maturities in near- term. Average Globex daily volume (thousands) H3 M3 U3 Z3 H4 M4 U4 Z4 H5 M5 U5 Z5 H6 M6 U6 Z6 H7 M7 U7 Z7 Open Interest Green bars represent rolling average values as of end of months and yellow curves represent recent time history GE Open interest was stable for all maturies except for 214 contracts. 8 Open interest (thousands) H3 M3 U3 Z3 H4 M4 U4 Z4 H5 M5 U5 Z5 H6 M6 U6 Z6 H7 M7 U7 Z quantitativebrokers 2

3 EURODOLLARS Average Best Bid/Ask Liquidity GE Value is the bid size plus offer size, averaged across all trade times through the day. Average posted liquidity has increased along all maturities. Average posted liquidity (thousands) H3 M3 U3 Z3 H4 M4 U4 Z4 H5 M5 U5 Z5 H6 M6 U6 Z6 H7 M7 U7 Z Average Trade Size GE Value is the average size of all aggressor trades, grouping together all the child fills for each one. 15 Average trade size kept stable for all quarterly contracts. The average trade size for serial contracts especially April 213 contract have decreased sharply. Note that the serial contracts are traded only for the first quarter. Average trade size 1 5 H3 M3 U3 Z3 H4 M4 U4 Z4 H5 M5 U5 Z5 H6 M6 U6 Z6 H7 M7 U7 Z quantitativebrokers 3

4 EURODOLLARS 6% Outright Spread Butterfly Packs Average Daily Volume by Contract Type We can approximately identify the fraction of outright traded volume by what type of contract was originally traded. Percentage of outright volume 5% 4% 3% 2% Volume of outright has decreased while spreads volume increased as we entered the roll month. 1% % 2 day 2 sided moving exponential average Thu 28 Feb Floor vs Electronic Futures 4 Percent electronic 1 9 Electronic trading volume for eurodollar future contracts increased in recently month to around 2 millions. The per- centage of electronic trading volume was stable at nearlly 1%. Daily traded volume (millions) Electronic 2 Floor Thu 28 Feb Floor vs Electronic Options Percent electronic 1 9 Daily Trading volume for both electronic and floor trading kept stable below half- million level. While the per- centage of electronic trading was still around 15%. Daily traded volume (millions) Electronic Floor Thu 28 Feb quantitativebrokers 4

5 TREASURIES Average Daily Volume 2 1 First intention dates 5 Vertical lines show First Intention Days during the roll - peaks in volume tend to occur at these dates because of roll activity. Daily volume of all treasury futures picked up sharply when entering the roll month. Volume of 5- year note has catched up with 1- year note. 2- year note and T- bond were traded at almost same level of daily volume. Average daily volume (thousands) year 5 year T Bond 2 year Ultra Thu 28 Feb Open Interest Open Interest has increased for all contracts in the past month. 2 First intention dates Open interest (thousands) year 5 year 2 year T Bond Ultra Thu 28 Feb quantitativebrokers 5

6 TREASURIES 1k ZT Average Best Bid/Ask Liquidity 5k 2k GE Value is the bid size plus offer size, averaged across all trade times through the day (note logarithmic scale). Overall, liquidity has decreased slightly. Eurodollar and 2- year were still the leaders here due to the pro- rata and split pro- rata/fifo allocation mechanism. Bid size + offer size 1k 5k 2k 1k 5 ZN ZF ZB 2 1 UB year Eurodollar 1 year 5 year 3 year Ultra 2 day 2 sided moving exponential average Thu 28 Feb 213 Average Trade Size Average trade sizes have decreased in the past month for all contracts except ultra T- bond.. 5 ZT ZN ZF Average trade size 2 1 GE ZB UB 5 2 year 1 year 5 year Eurodollar 3 year Ultra Thu 28 Feb quantitativebrokers 6

7 TREASURIES Futures: Floor vs Electronic 5 First intention dates Percent electronic 1 9 Trading volume for both electronic and floor trading increased sharply. Electronic trading volume increased futher to around 5 millions from the button of 1.5 millions at the beginning of 213. Meanwhile, the per- centage of electronic trading decreased to less than 95%. Daily traded volume (millions) Electronic 2 Floor Thu 28 Feb Options : Floor vs Electronic The percentage of electronic option trading volume was stable at 55% level. However, both electronic and floor trading volume have significantly decreased. Daily traded volume (millions) First intention dates Electronic Floor Percent electronic Thu 14 Feb quantitativebrokers 7

8 FED FUNDS 3.5 ZQ Average Daily Volume Green bars represent rolling average values as of end of month and yellow curves represent recent time history. Fed Fund s daily volumes decreased along all maturities. Average Globex daily volume (thousands) G3H3 J3 K3M3 N3Q3 U3 V3 X3 Z3 F4G4 H4 J4 K4 M4N4Q4 U4 V4X4 Z4 F5G5 H5 J5 K5 M5N5 Q5U5 V5 X5 Z Open Interest 4 ZQ Green bars represent rolling average values as of end of months and yellow curves represent recent time history. Open interest has decreased a lot for almost all maturities. Open interest (thousands) G3H3 J3 K3M3 N3Q3 U3 V3 X3 Z3 F4G4 H4 J4 K4 M4N4Q4 U4 V4X4 Z4 F5G5 H5 J5 K5 M5N5 Q5U5 V5 X5 Z quantitativebrokers 8

9 FED FUNDS ZQ Average Best Bid/Ask Liquidity Value is the bid size plus offer size, averaged across all trade times through the day. Displayed liquidity increased in short- term maturities and kept stable in long- term. Average posted liquidity (thousands) G3H3 J3 K3M3 N3Q3 U3 V3 X3 Z3 F4G4 H4 J4 K4 M4N4Q4 U4 V4X4 Z4 F5G5 H5 J5 K5 M5N5 Q5U5 V5 X5 Z Average Trade Size ZQ Value is the average size of all aggressor trades, grouping together all the child fills for each one. Average Trade size was stable for most of the maturities before 215. For all 215 contracts, the trade sizes have decreased, while October 215 contract was still the most popular. Average trade size G3H3 J3 K3M3 N3Q3 U3 V3 X3 Z3 F4G4 H4 J4 K4 M4N4Q4 U4 V4X4 Z4 F5G5 H5 J5 K5 M5N5 Q5U5 V5 X5 Z Sign up for this and other interest rate execution research at quantitativebrokers.com quantitativebrokers 9

INTEREST RATE TRENDS AS OF JAN. 31, Largest Trades of January 2013

INTEREST RATE TRENDS AS OF JAN. 31, 213 Largest Trades of January 213 1 EURODOLLARS Average Daily Volume 2 GE 213 1 31 Green bars represent rolling average values as of end of month and yellow curves represent