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

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Jordan Simmons
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1 INTEREST RATE TRENDS AS OF JAN. 31, 213 Largest Trades of January 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 ketp stable for 213 and 214 contracts, but decreased for 215 contracts. 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. Open interest has decreased for all maturities less than two years except for Dec. 213 contract. 8 6 GE Open interest (thousands) 4 2 H3 M3 U3 Z3 H4 M4 U4 Z4 H5 M5 U5 Z5 H6 M6 U6 Z6 H7 M7 U7 Z quantitativebrokers 2

3 EURODOLLARS GE Average Best Bid/Ask Liquidity 1 Value is the bid size plus offer size, averaged across all trade times through the day. Average posted liquidity has been stable 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 decreased slightly for all quarterly contracts in near terms. 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 picked up since last month with spreads volume decreased. 1% % 2 day 2 sided moving exponential average Thu 31 Jan Floor vs Electronic Futures 4 Percent electronic 1 9 Electronic trading volume for eurodollar future contracts increased sharply in recently month to more than 2 million. The per- centage of electronic trading volume was stable at nearlly 1%. Daily traded volume (millions) Electronic 2 Floor Thu 31 Jan Floor vs Electronic Options Percent electronic 1 9 Average Trading Volume for both electronic and floor trading increased sharply. While the per- centage of electronic trading decreased to around 15%. Daily traded volume (millions) Electronic Floor Thu 31 Jan quantitativebrokers 4

5 TREASURIES Average Daily Volume 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 new year, while 1- year still leaded the trading volume. Average daily volume (thousands) First intention dates year 5 year T Bond 2 year Ultra Thu 31 Jan 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 31 Jan quantitativebrokers 5

6 TREASURIES 1k Average Best Bid/Ask Liquidity 5k 2k ZT 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 year Eurodollar 1 year 5 year 3 year Ultra 2 day 2 sided moving exponential average UB Thu 31 Jan 213 Average Trade Size Average trade sizes have kept increasing in the past month for all contracts from the lowest value in ZT ZN ZF GE Average trade size 2 1 ZB 5 2 year 1 year 5 year Eurodollar 3 year Ultra UB Thu 31 Jan quantitativebrokers 6

7 TREASURIES Futures: Floor vs Electronic 4 First intention dates Percent electronic 1 9 Trading volume for both electronic and floor trading increased sharply in the first month of the year. Meanwhile, the per- centage of electronic trading kept at almost 1%. The electronic trading volume nearlly doubled. Daily traded volume (millions) Electronic 2 Floor Thu 31 Jan Options : Floor vs Electronic The percentage of electronic option trading volume has decreased in the past month to around 55%. However, both electronic and floor trading volume has almost doubled in last month Percent electronic First intention dates Daily traded volume (millions) Electronic Floor Thu 31 Jan quantitativebrokers 7

8 FED FUNDS 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) F3G3H3 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 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, except for maturities nearer than 1 year. Open interest (thousands) F3G3H3 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 Average Best Bid/Ask Liquidity 15 ZQ Value is the bid size plus offer size, averaged across all trade times through the day. Displayed liquidity decreased in short maturities and kept stable in long- term. Average posted liquidity (thousands) 1 5 F3G3H3 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 12 ZQ Value is the average size of all aggressor trades, grouping together all the child fills for each one. 1 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 F3G3H3 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 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