INTEREST RATE TRENDS AS OF NOV 30, Largest Trades of November 2012

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Bertram Wheeler
5 years ago
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1 INTEREST RATE TRENDS AS OF NOV 3, 212 Largest Trades of November 212 1

2 EURODOLLARS GE Average Daily Volume Green bars represent rolling average values as of end of month and yellow curves represent recent time history. Trading volume for Eurodollars has continued to decreased for almost all maturities. Average Globex daily volume (thousands) Z2 H3 M3 U3 Z3 H4 M4 U4 Z4 H5 M5 U5 Z5 H6 M6 U6 Z6 H7 M7 U Open Interest Green bars represent rolling average values as of end of months and yellow curves represent recent time history. Open interest has decreased for all maturities less than two years. Open interest (thousands) GE Z2 H3 M3 U3 Z3 H4 M4 U4 Z4 H5 M5 U5 Z5 H6 M6 U6 Z6 H7 M7 U quantitativebrokers 2

3 EURODOLLARS Average Best Bid/Ask Liquidity 1 8 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) Z2 H3 M3 U3 Z3 H4 M4 U4 Z4 H5 M5 U5 Z5 H6 M6 U6 Z6 H7 M7 U Average Trade Size GE Value is the average size of all aggressor trades, grouping together all the child fills for each one. Average trade size remained stable for all quarterly contracts. Average trade size Z2 H3 M3 U3 Z3 H4 M4 U4 Z4 H5 M5 U5 Z5 H6 M6 U6 Z6 H7 M7 U 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% Direct outright orders have sharply decreased with spreads percentage increasing a little. 1% % 2 day 2 sided moving exponential average Fri 3 Nov 212 Floor vs Electronic Futures 4 Percent electronic 1 9 Electronic trading volume for eurodollar future contracts kept decreasing in recently months. The per- centage of electronic trading volume was stable at nearlly 1%. Daily traded volume (millions) Electronic 2 Floor Fri 3 Nov Floor vs Electronic Options 1.5 Percent electronic 1 9 Average Trading Volume for both electronic and floor trading largely decreased recently. While the per- centage of electronic trading decreased to around 15%. Daily traded volume (millions) 1..5 Electronic Floor Fri 3 Nov quantitativebrokers 4

5 TREASURIES Average Daily Volume First intention dates Overall volume has been steadily increasing following a low point at the end of 28. Vertical lines show First Intention Days during the roll - peaks in volume tend to occur at these dates because of roll activity. The daily volume of 5- Year notes increased sharply in the past month and became the volume leader. Volume of 2- year note increasaed even more and exceed the volume of T- bond. Average daily volume (thousands) year 5 year T Bond 2 year Ultra Fri 3 Nov Open Interest Open Interest has generally increased in the past month with the exception of slight decrease in the 2- year. Open interest (thousands) First intention dates 2 1 year 5 year 2 year T Bond Ultra Fri 3 Nov quantitativebrokers 5

6 TREASURIES Average Best Bid/Ask Liquidity 1k 5k 2k 1k ZT GE Value is the bid size plus offer size, averaged across all trade times through the day. Liquidity has increased from 1 to 1 times (note logarithmic scale) from its low at the end of year is still the leader here due to the split pro- rata/fifo allocation mechanism. 1- year and 5- year were very close. Bid size + offer size 5k 2k 1k year Eurodollar 1 year 5 year 3 year Ultra 2 day 2 sided moving exponential average ZN ZF ZB UB Fri 3 Nov Average Trade Size Average trade sizes have slightly decreasaed for the past month with the exception of an increase in T- bond and Ultra- bond futures. Average trade size ZT ZN ZF GE ZB 5 2 year 1 year 5 year Eurodollar 3 year Ultra UB Fri 3 Nov quantitativebrokers 6

7 TREASURIES Futures: Floor vs Electronic 4 First intention dates Percent electronic Trading volume for both electronic and floor trading increased sharply as entering the rolling month. Meanwhile, the per- centage of electronic trading fell to below 95%. Daily traded volume (millions) Electronic 2 Floor Fri 3 Nov Options : Floor vs Electronic.7.6 First intention dates Percent electronic The percentage of electronic option trading volume has decreased in the past month below 5%. Daily traded volume (millions) Electronic Floor Fri 3 Nov quantitativebrokers 7

8 FED FUNDS 3. 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 volume have decreased along all maturities except for nearst two months. Average Globex daily volume (thousands) X2 Z2 F3 G3 H3 J3 K3 M3 N3 Q3 U3 V3 X3 Z3 F4 G4 H4 J4 K4 M4 N4 Q4 U4 V4 X4 Z4 F5 G5 H5 J5 K5 M5 N5 Q5 U5 V ZQ Open Interest Green bars represent rolling average values as of end of months and yellow curves represent recent time history. Open interest has steadily decreased along almost all maturities. Open interest (thousands) X2 Z2 F3 G3 H3 J3 K3 M3 N3 Q3 U3 V3 X3 Z3 F4 G4 H4 J4 K4 M4 N4 Q4 U4 V4 X4 Z4 F5 G5 H5 J5 K5 M5 N5 Q5 U5 V 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 was very stable along all maturities. Average posted liquidity (thousands) X2 Z2 F3 G3 H3 J3 K3 M3 N3 Q3 U3 V3 X3 Z3 F4 G4 H4 J4 K4 M4 N4 Q4 U4 V4 X4 Z4 F5 G5 H5 J5 K5 M5 N5 Q5 U5 V ZQ Average Trade Size 8 Value is the average size of all aggressor trades, grouping together all the child fills for each one. Average trade decreased in short- term maturities. The trade size of October, 215 contract increased dramatically during the last month. This is mainly due to one large trade of 75 lots on Nov. 5 which made the total monthly value to be 14 lots. While the neighbouring contracts were all traded below 1 lots in last month. Average trade size X2 Z2 F3 G3 H3 J3 K3 M3 N3 Q3 U3 V3 X3 Z3 F4 G4 H4 J4 K4 M4 N4 Q4 U4 V4 X4 Z4 F5 G5 H5 J5 K5 M5 N5 Q5 U5 V Sign up for this and other interest rate execution research at quantitativebrokers.com quantitativebrokers 9

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

INTEREST RATE TRENDS AS OF MAY. 31, 213 Largest Trades of May 213 1 EURODOLLARS Average Daily Volume 2 GE 213 5 31 Green bars represent rolling average values as of end of month and yellow curves represent