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, June 2  saw above average volumes between 21,363 contracts (on May 27) to 45,749 contracts (on June 1).  The Jul’22, and Dec’22 contracts had 45% and 43% of the volume, respectively, as of June 2.

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’22 and Dec’22 contracts had 32%, and 46% of the open interest, respectively, as of June 2.  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 daily changes in open interest across the week ending June 2 were fairly small, reflecting a flat pattern.  This corresponded to a sideways zig zag of futures price settlements settlements across the week.

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