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 Thursday, April 18, ICE futures showed above average volumes between 52,667 contracts (on April 15) to 78,267 contracts (on April 16).  The Jul’24 and Dec’24 contracts had 55% and 25% of the volume, respectively, as of April 18.

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 Jul’24 and Decl’24 contracts had 48%, and 41% of the open interest, respectively, as of April 18.  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 April 18, ICE cotton open interest declined through Wednesday’s session.  In association with this week’s declining price settlements, this has the the appearance of continued long liquidation.

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