Fairly exhaustive futures market summary....

General discussions about futures.
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ladidalimey
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Fairly exhaustive futures market summary....

Post by ladidalimey » Tue May 25, 2010 7:09 am


sluggo
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Post by sluggo » Tue May 25, 2010 8:46 am

Quite a few markets that I follow and/or trade, did not appear on this list. A few examples:
  • Oats
    Rough Rice
    Feeder Cattle
    Goldman Sachs Commodity Index
    Lumber
    Palladium
    Spring Wheat (Minneapolis)
    New Zealand Dollar (CME/IMM)
    Swiss Govt Bond "CONF" (Eurex)
    5-Year Swapnote (LIFFE)

ladidalimey
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Post by ladidalimey » Tue May 25, 2010 8:59 am

possibly the 5k a day vol cutoff?

L

sluggo
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Post by sluggo » Tue May 25, 2010 9:45 am

I don't think that's the only reason
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nzd.png
New Zealand Dollar
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trendyguy
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Post by trendyguy » Wed May 26, 2010 1:29 pm

Thanks for posting that, I don't subscribe to that magazine.
I always use plenty of tumeric in my Butter Chicken, but I had no idea you could actually trade it!

mmtrader
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Post by mmtrader » Fri May 28, 2010 4:14 am

Thanks for that, very useful. Just one question (possibly a silly one)- is the futures daily volume given just for the front month contract or for all the quoted months?

sluggo
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Post by sluggo » Fri May 28, 2010 8:29 am

is the futures daily volume given just for the front month contract or for all the quoted months?
The article doesn't say. However you can figure it out yourself with just a bit of digging:
  1. Find a futures market whose total volume (for all quoted months) is very different than the front month volume. Such as Eurodollars.
  2. Pull up a chart of front month volume and total volume for that futures market; example CSI UA chart below
  3. Determine which one is closer to the volume number mentioned in the article
If you don't happen to be near a computer with CSI UA installed, you can look at the quote page of The Wall Street Journal (here)
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volume_histog.png
front month volume (blue) and total volume (black)
volume_histog.png (5.28 KiB) Viewed 4020 times

mmtrader
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Post by mmtrader » Fri May 28, 2010 9:05 am

I thought perhaps the OP might have a definitive answer. Obviously there are other ways to estimate it.

So on that basis, it looks like it is just the front month.

Great, thanks.

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