On-Exchange and OTC Derivative Statistics

1
On-Exchange and OTCDerivative Statistics

• Richard StevensDirector, Research Product
  Development

1 December 2008
2
Exchange Trading Volumes

• How to measure exchangestrading 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 days
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 Groups OTC clearing offerings
• Clearing 360
• Clearport
• Cleared Interest Rate Swaps on Swapstream
• Credit Default Swaps
• Implications for statistics