INTEREST RATE TRENDS AS OF MAY. 31, Largest Trades of May 2013

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Delilah Burns
6 years ago
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1 INTEREST RATE TRENDS AS OF MAY. 31, 213 Largest Trades of May 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 volumes increased significantly along all maturities last month. Average Globex daily volume (thousands) Open Interest Green bars represent rolling average values as of end of months and yellow curves represent recent time history. Open interest kept stable overall except for June and December 215 contracts. 8 GE Open interest (thousands) quantitativebrokers 2

3 EURODOLLARS GE Average Best Bid/Ask Liquidity 15 Value is the bid size plus offer size, averaged across all trade times through the day. Average posted liquidity has decreased especially for near terms. Average posted liquidity (thousands) Average Trade Size GE Value is the average size of all aggressor trades, grouping together all the child fills for each one. 8 Average trade sizes kept stable for all quaterly contracts and decreased for serial contracts. Average trade size 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% Volumes of both eurodollar outrights and spreads increased a little bit. 1% % 2 day 2 sided moving exponential average Fri 31 May Floor vs Electronic Futures 4 Percent electronic 1 9 Electronic trading volume for eurodollar future contracts spiked in last month to over 3 million. The per- centage of electronic trading volume was stable at nearlly 1%. Daily traded volume (millions) Electronic 2 Floor Fri 31 May Floor vs Electronic Options Percent electronic 1 Daily Trading volume for both electronic and floor trading were about the same between.5 and 1 million. While the per- centage of electronic trading was stable at 15%. Daily traded volume (millions) Electronic Floor Fri 31 May 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 volumes of Treasury futures increased significantly when approching the first intention day. Volume of 5- year caught up with 1- year. Daily volume of 2- year and T- bond also increased to the same level. Average daily volume (thousands) year 5 year T Bond 2 year Ultra Fri 31 May Open Interest Open Interests decreased for most contracts except for 1- year which kept increasing. 2 First intention dates Open interest (thousands) year 5 year 2 year T Bond Ultra Fri 31 May quantitativebrokers 5

6 TREASURIES 1k Average Best Bid/Ask Liquidity 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. Liquidities have decreased a lot for all products in the last month. Bid size + offer size 5k 2k 1k 5k 2k 1k 5 2 ZT GE ZN ZF ZB year Eurodollar 1 year 5 year 3 year Ultra 2 day 2 sided moving exponential average UB Fri 31 May 213 Average Trade Size Average trade sizes decreased for all products.. 5 ZT ZN ZF GE Average trade size 2 1 ZB 5 2 year 1 year 5 year Eurodollar 3 year Ultra UB Fri 31 May quantitativebrokers 6

7 TREASURIES Futures: Floor vs Electronic 6 5 First intention dates Percent electronic Electronic trading volume spiked to over 6 million for Treasury futures which is the highest since 25. However, the per- centage of electronic trading decreased to around 95%. Daily traded volume (millions) Electronic Options : Floor vs Electronic Floor Fri 31 May Electronic trading volume for Treasury options also reached historical high since 28 last month to.8 million. The per- centage of electronic trading was about half of the total volume..8.6 First intention dates Percent electronic Daily traded volume (millions).4 Electronic Floor 2. Fri 31 May quantitativebrokers 7

8 FED FUNDS 4 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 was stable along all maturities. Average Globex daily volume (thousands) K3M3 N3Q3 U3 V3 X3 Z3 F4G4 H4 J4 K4 M4N4Q4 U4 V4X4 Z4 F5G5 H5 J5 K5 M5N5 Q5U5 V5 X5 Z5 F6 G6 H Open Interest 5 ZQ Green bars represent rolling average values as of end of months and yellow curves represent recent time history. Open interest has decreased all maturities except for the nearst three contracts. Open interest (thousands) K3M3 N3Q3 U3 V3 X3 Z3 F4G4 H4 J4 K4 M4N4Q4 U4 V4X4 Z4 F5G5 H5 J5 K5 M5N5 Q5U5 V5 X5 Z5 F6 G6 H quantitativebrokers 8

9 FED FUNDS GE Average Best Bid/Ask Liquidity 15 Value is the bid size plus offer size, averaged across all trade times through the day. Displayed liquidity decreased for near term. Average posted liquidity (thousands) 1 5 Average Trade Size ZQ Value is the average size of all aggressor trades, grouping together all the child fills for each one. 15 Average Trade size was stable for all maturities. Average trade size 1 5 K3M3 N3Q3 U3 V3 X3 Z3 F4G4 H4 J4 K4 M4N4Q4 U4 V4X4 Z4 F5G5 H5 J5 K5 M5N5 Q5U5 V5 X5 Z5 F6 G6 H Sign up for this and other interest rate execution research at quantitativebrokers.com quantitativebrokers 9

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

INTEREST RATE TRENDS AS OF FEB. 28, 213 Largest Trades of February 213 1 EURODOLLARS Average Daily Volume 2 GE 213 2 28 Green bars represent rolling average values as of end of month and yellow curves