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Are futures dying? "Volume drying up"
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Are futures dying? "Volume drying up"

  #11 (permalink)
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Is it not rather just a question of offering ? With so many products available as investment vehicle no wonder we can see a fluctuation of volume at some point.

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  #12 (permalink)
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2011 brought six of the ten highest volume days and the first time options trading surpassed 40 million contracts in one day. Last year also saw $1.5 trillion in options premium change hands, the fifth consecutive year above $1 trillion and the second highest amount after 2008ís $1.9 trillion.

OCC also reported these volume highlights for the month of December:

December equity options volume was 298,701,504 contracts, 6.79 percent down compared to the 320,465,567 contracts in the previous December.
December average daily total options volume was 15,253,569 contracts compared to 15,509,428 contracts in December 2010, 1.65 percent lower.
Month-end open interest for December 2011 was 292,858,799 contracts vs. December 2010 with 299,651,052 contracts, down by 2.26 percent.
A Review of 2011 Records

In addition to hitting new annual volume records, these records were set last year.

Highest single trading day in 2011 for total options: August 8 with 41,535,560 contracts
Highest single trading day ever for equity options: August 8 with 37,972,071 contracts
Highest monthly volume: August with 550,049,407 contracts
Average daily total options volume: 18,106,144
Average daily equity options volume: 16,764,304


Industry options volume sets record for 2011 - Options - Futures Magazine

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  #13 (permalink)
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Dark liquidity - Wikipedia, the free encyclopedia

dark pools definition from Financial Times Lexicon

Shadows fall over dark pool trading practices - FT.com



“The only reason you have dark pools is because trading is being driven from the open exchanges almost exclusively because of the predatory behaviour of high frequency traders and computer-driven traders.”

"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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  #14 (permalink)
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This is the most recent article I could find that talks about the actual volume of dark pools. FT is reporting a year ago that it was 13% of volume.

Dark pool volumes at highest level in US - FT.com

Mike

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  #15 (permalink)
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Big Mike View Post
This post by kbit got me thinking:

https://futures.io/index-futures-trading/14463-tf-russell-2000-futures-contract-...-goes-23.html#post187451

I've been reading similar stories for a few months now, how volume is drying up and it is making things harder and harder to trade.

So here's the question: Are futures dying? Is forex picking up the slack? Who is moving from futures to forex? Retail? Institutions? Or is there no "moving", and simply less interested parties to begin with?

Thoughts?

Mike

Based on what I've seen in the past, traders will rotate between markets with respect to that markets behavior/cycle, me included. So, right now the ES has morphed back into it's old POMO-like self while other markets are experiencing massive intra-day moves. For example, the energy markets have been amazing! Today's drop in CL was beautiful! NG was down around 8% today I believe. The problem with the indices right now is there isn't enough significant news to create the volatility we had there a few months back. All the EU debt BS and everything related is baked into the market already. LTRO is giving EU banks cash to speculate in EU Gov. bonds and I would imagine some of that money is being used to be invested in the US equities markets. If you look at the book on ES for example, you'll see roughly 8k - 15k depending on the time of day on each side of the market. A few months ago during the huge volatility, the book was showing 4k - 5k per side which is why I guess you could say there were big swings as the market was whipping all over the place trying to find liquidity.

HFTs may have some influence on the futures markets but a majority of what they're doing is buying and selling the same contracts to each other. Playing little games with the depth of market and other silly little things that won't have too much affect on the markets. I'll bet many of these firms probably have a policy to reduce their operations during extreme volatility which is one potential reason why we see the DOM so big right now in ES. The other thing about HFTs is you can't group them together. That's like grouping together hedge funds and saying they only do this or that when in reality there are multiple disciplines which holds true with HFTs as well. I certainly think there are HFTs that are gaming the system but there are also firms who truly do provide liquidity. But HFTs are most prominent in individual stocks rather than futures markets. I have seen some go rogue though. A few times in CL and NG. Those typically are one-off trades these sneaky firms do where the essentially clear the book with some weird algo pattern.

But I don't think futures trading is fading out at all. To be a successful trader for a long period of time, you have to remain open minded with regards to which markets to trade and have a trading method that works in multiple markets. I never understood people who look to only trade one market. I know it can be done successfully but I know I can make a lot more by staying where the action is.

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  #16 (permalink)
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Private Banker View Post
Based on what I've seen in the past, traders will rotate between markets with respect to that markets behavior/cycle, me included. So, right now the ES has morphed back into it's old POMO-like self while other markets are experiencing massive intra-day moves. For example, the energy markets have been amazing! Today's drop in CL was beautiful! NG was down around 8% today I believe. The problem with the indices right now is there isn't enough significant news to create the volatility we had there a few months back. All the EU debt BS and everything related is baked into the market already. LTRO is giving EU banks cash to speculate in EU Gov. bonds and I would imagine some of that money is being used to be invested in the US equities markets. If you look at the book on ES for example, you'll see roughly 8k - 15k depending on the time of day on each side of the market. A few months ago during the huge volatility, the book was showing 4k - 5k per side which is why I guess you could say there were big swings as the market was whipping all over the place trying to find liquidity.

HFTs may have some influence on the futures markets but a majority of what they're doing is buying and selling the same contracts to each other. Playing little games with the depth of market and other silly little things that won't have too much affect on the markets. I'll bet many of these firms probably have a policy to reduce their operations during extreme volatility which is one potential reason why we see the DOM so big right now in ES. The other thing about HFTs is you can't group them together. That's like grouping together hedge funds and saying they only do this or that when in reality there a multiple disciplines which holds true with HFTs as well. I certainly think there are HFTs that are gaming the system but there are also firms who truly do provide liquidity. But HFTs are most prominent in individual stocks rather than futures markets. I have seen some go rogue though. A few times in CL and NG. Those typically are one-off trades these sneaky firms do where the essentially clear the book with some weird algo pattern.

But I don't think futures trading is fading out at all. To be a successful trader for a long period of time, you have to remain open minded with regards to which markets to trade and have a trading method that works in multiple markets. I never understood people who look to only trade one market. I know it can be done successfully but I know I can make a lot more by staying where the action is.

Sector Rotation: The Essentials
Sector Rotation: The Essentials

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  #17 (permalink)
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Private Banker View Post
Based on what I've seen in the past, traders will rotate between markets with respect to that markets behavior/cycle, me included.

I completely agree about changing sectors and markets. But I still see a lot of people talking about a vast drop in liquidity in recent months, as a whole.

Does anyone have a report that shows the total volume across all futures markets, for the last few years?

Mike

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  #18 (permalink)
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Big Mike View Post
Does anyone have a report that shows the total volume across all futures markets, for the last few years?

Mike

I wonder if our friends at @DTN IQFeed have some sort of report through Nanex or etc that could help with this type of analysis?

Jay?

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
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  #19 (permalink)
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kbit View Post
Mike, Mike, Mike, Mike....I'm going to have to find some stuff for you on HFTs....The notion that they provide liquidity is BS....give me some time to find some stuff to post regarding HFTs and liquidity.

Some articles:
60 Minutes Brings HFT To The Mainstream, As CFTC Refutes HFT Liquidity-Provisioning Argument | ZeroHedge
"....which demonstrates just how fallacious any claims that HFTs provide liquidity are....."


High Frequency Trading: A Liquidity Hoax - Business Insider
"
Proponents of high-frequency trading claim that their trading activity increases market liquidity. The idea that high-frequency trading adds liquidity to the markets is pure folklore, these proponents seem to confuse indiscriminate high speed trading for genuine liquidity."



January 25, 2012 | Young Investments


Death Race: High-Freqency Trading is Speeding Out of Control - CBS News


There's more ...just a few off a google search

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  #20 (permalink)
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Big Mike View Post
I completely agree about changing sectors and markets. But I still see a lot of people talking about a vast drop in liquidity in recent months, as a whole.

Does anyone have a report that shows the total volume across all futures markets, for the last few years?

Mike

Take a look at this report.

Attached Thumbnails
Are futures dying? "Volume drying up"-complete_volume-11-11_fi-.pdf  
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