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Eurex Activity Question
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Created: by xtrader100 Attachments:4

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Eurex Activity Question

  #1 (permalink)
Trading Apprentice
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Eurex Activity Question

Has anyone else found over the last couple of weeks that Eurex volume has completely died?

The week leading up to the latest jobs report was pretty bad but since then its been remarkably quiet.

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  #2 (permalink)
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  #3 (permalink)
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It's the middle of summer, also today is a Holiday in Asia (Japan)

Also , earnings is just starting ....

Bernanke will testify 2x this week.... market is looking for more global qe fix

"Successful trading is one long journey, not a destination" Peter Borish Former Head of Research for Paul Tudor Jones speaking on conversations with John F. Carter
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  #4 (permalink)
Trading Apprentice
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I'm fully aware of the month we're in.

Given the current Eurozone crisis there should be good activity in all euro products from euribor to bunds.

All Eurex bonds especially bunds have been declining every month by up to 30% compared to the same month in 2011,this month it has dropped off significantly.

Earnings dont impact Eurex bonds particularly and I doubt we would have a 3 week lead in to Bernanke's testimony.

I was really looking to hear from anyone who trades these products and understands them.


Last edited by xtrader100; July 16th, 2012 at 05:37 AM.
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xtrader100 View Post
I'm fully aware of the month we're in.

Given the current Eurozone crisis there should be good activity in all euro products from euribor to bunds.

All Eurex bonds especially bunds have been declining every month by up to 30% compared to the same month in 2011,this month it has dropped off significantly.

Earnings dont impact Eurex bonds particularly and I doubt we would have a 3 week lead in to Bernanke's testimony.

I was really looking to hear from anyone who trades these products and understands them.

Considering the general question at the top of this thread when the list of Eurex products is pretty vast ....

Interest Rate Derivatives (f.e. Euro-Bund Futures, Euro-Bobl Futures)
Equity Derivatives (Equity Options and Single Stock Futures based on European, Brazilian and US underlyings)
Equity Index Derivatives (f.e. EURO STOXX 50® Index Futures,
DAX® Futures, SMI® Futures)
Equity Index Dividend Derivatives
Volatility Index Derivatives
Exchange Traded Funds Derivatives
Inflation Derivatives
Commodity Derivatives (Agriculture Derivatives, Gold and Silver Derivatives, Power and CO2 Derivatives in cooperation with EEX)
Weather Derivatives
Property Derivatives

.....I gave a general answer and really have no idea what your knowledge is or what you are looking at or trade ....


Here is some information you might find helpful ECB bond buy freeze remained ahead of EU summit - Yahoo! News

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  #6 (permalink)
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The decline in trading volume did not start in July this year, but could be already observed during the first quarter 2012. Below is an excerpt from the interim report 01/2012 published by Deutsche Börse:

"Trading in European interest rate derivatives declined by 27 percent to 121.3 million contracts (Q1/2011: 165.5 million). This was due primarily to the general uncertainty in the euro zone, which led to a lower volume of trading in European government bond markets and their derivatives. In particular, trading volumes in derivatives on German government bonds decreased, since, due to persistently high and volatile divergences in interest rates in the euro area, these derivatives are no more suited for hedging all European government bonds."

Or otherwise put, investors have discovered that they cannot hedge Italian and Spanish bonds with bund futures.

The decline in trading volume can only be observed for bund futures, for US treasury futures the volume is stable.

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  #7 (permalink)
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Unsure where anyone said the volume decline started in July 2012,I believe I did say that the volumes been dropping all year but so far July has been far worse.

Also it's not limited to Bunds,Bobl and Schatz have been equally as bad if not worse.

My original question was supposed to seek out a reason that I may have missed.

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If I look at FGBL for the first three months of this year, the average daily volume has declined by 21% compared to the first three months of 2011. In June the decline has been 16% compared to 2011, in July it has been 50%.

The chart below shows the rolling monthly volume (22-day average of volume) for the FGBL front month.

The seasonal volume profile for the two years is quite similar, just that both peaks and troughs came out lower for 2012 compared to 2011. The difference is the rapid volume decline in July, which can be seen in 2012.

In 2011 volume peaked in July. The reason for the high volume in July 2011 was increasing nervousness among market participants as the stock markets fell by 18% between the beginning of July 2011 and August 2011. Actually July was the worst month of the year 2011 for the stock markets.


Usually in July the volume of the bond markets dries up. If you compare the average volume for FGBL just for the first 10 days of July, it was

2012: 558 k
2011: 1130 k
2010: 639 k
2009: 524 k

This means that the volume observed 2012 matches the volume expectation based on 2009 and 2010. The anomaly was 2011, as a flight-to-safety scenario drove up volume.

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Can you provide the same stats for the 10 YR T-Note for the same periods?

Thanks

Aaron

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xtrader100 View Post
Can you provide the same stats for the 10 YR T-Note for the same periods?

Thanks

Aaron

@xtrader100: Below is a chart showing the 22-day SMA of daily volume (rolling month) for the front month of ZN. If you look at the average volume for the first 10 days of July, you get

2012: 766 K
2011: 1422 K
2010: 1115 K
2009: 726 K

Not so different from the bund futures.

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