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On-Exchange and OTC Derivative Statistics

On-Exchange and OTC Derivative Statistics. Richard Stevens Director, Research & Product Development. 1 December 2008. Exchange Trading Volumes. How to measure exchanges’ trading volumes? Number of ‘lots’ traded Value of volume traded Units relevant to the underlying market

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On-Exchange and OTC Derivative Statistics

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  1. On-Exchange and OTCDerivative Statistics Richard StevensDirector, Research & Product Development 1 December 2008

  2. Exchange Trading Volumes • How to measure exchanges’trading volumes? • Number of ‘lots’ traded • Value of volume traded • Units relevant to the underlying market • Value at risk

  3. Exchange Trading Volumes

  4. Exchange Trading Volumes • Issues regarding volumemeasurement • Is the context relevant for all types of contracts • Futures • Options • Swaps • Trade date in 24 hour markets • Trading venue • Impact of strategy trades on volume

  5. Open Interest Netting of positions single biggest factor on open interest statistics Despite substantial traded volume in futures contracts, each day’s impact on size of open positions is minimal

  6. Comparing Exchange and OTC Data • Different market dynamics • Algorithmic trading • Linked implied strategy trading • Position netting • Can volume and open interest data be considered to be comparable?

  7. OTC Statistics at CME Group • CME Group’s OTC clearing offerings • Clearing 360 • Clearport • Cleared Interest Rate Swaps on Swapstream • Credit Default Swaps • Implications for statistics

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