Volume and Open Interest

The current allocation of volume, open interest, and a lot more cotton futures information, can be found on the ICE futures website under “Featured Reports”.  Volume (viewed above as the green line) is defined as the total daily number of contracts traded in a daily session. The level of volume is often used to gauge the strength of continuing or changing trends. Typical cotton daily volume bounces around between 10,000 and 25,000 contracts.  The week ending Thursday, December 9 saw average volumes between 17,741 (on December 8) to 22,145 contracts (on December 3).  The Mar’21, and May’22 contracts had 56% and 26% of the volume, respectively, as of December 9.

Open interest (the red line above) refers to the number of active positions at the end of the day (not double counting both the buyer and seller). Open interest by contract has a similar front month concentration as does volume, e.g., The Mar’22 and May’22 contracts had 54%, and 18% of the open interest, respectively, as of December 9.  Open interest does not fluctuate as much as daily volume, but there are patterns where sharp surges or declines in open interest are associated with sudden rallies or sell-offs (often in high volume).  The pattern of daily changes in open interest flat/lower for week ending December 9.

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