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.  Through January 26, ICE futures showed above average volumes between 28,784 contracts (on January 25) to 50,210 contracts (on January 23).  The Mar’23, and May’23 contracts had 52% and 22% of the volume, respectively, as of January 26.

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’23 and May’23 contracts had 41%, and 24% of the open interest, respectively, as of January 26.  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).  For the week ending January 26, the open interest pattern trended modestly higher over the week, while the price settlement pattern was more flat.

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