On-Exchange and OTC Derivative Statistics Richard Stevens Director, Research & Product Development 1 December 2008.

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Presentation transcript:

On-Exchange and OTC Derivative Statistics Richard Stevens Director, 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

Exchange Trading Volumes 3

4 Issues regarding volume measurement 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 Exchange Trading Volumes

Open Interest 5 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