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 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 graph above shows numerous instances of volume spiking above 50,000 contracts in the last several years.  For the week ending Thursday March 8,   ICE cotton saw continued above average volumes between 24,114 contracts (on March 2) to 69,801 contracts (on March 6).  On March 8 about 53% of the volume was concentrated in the most active May’18, while the Jul’18 had 28% of the volume.

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.  For example, on March 8 the May18 and Jul’18 contracts had 48% and 23% of the open interest, respectively.  The more distant Dec’18 had 24% of the open interest. 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 accompanied by spikes in volume).  For the week ending March 8, the fluctuations in open interest appeared static.

Comments are closed.