We're really bored today,like most people I'd imagine and wondered what the Eurex vols were on this bank holiday in 2007. If this is true then it really is shocking 2007 FGBL : 1,414,000 FGBM : 691,000 FGBS : 912,000 2008 (BY 3.30 PM) FGBL : 277,000 FGBM : 184,000 FGBS : 155,000 I got this from the Eurex website,last year this holiday fell on Wednesday 15th Aug ,unbelievable!
Strange, there must have been something important on 15th last year. Today is Assumption day holiday, and volume tends to be much lower than usual.
This wasn't a comparison to the 15th of August in general,last year the holiday was also on the 15th,as clearly stated, but the volume was significantly higher,re-read the first line. Personally I think the volumes are trending down,I have thought so for a few months but am now being proved right,August is traditionally quieter but this August has been atrocious.IMO volumes peaked ages ago and like housing will not be seen at those levels for a long,long time. BTW thanks for pointing out that vol tends to drop on public holidays,after 14 years of being a local I found that insightful,guess what - it'll probably slow down around Christmas.
I think the lower volumes have a lot to do with the fewer traders that exist in the market due to banks getting pwned & firing all the average traders. Give it a while, and when banks start to hire traders again & get a bit more relaxed with their money, the volume will return i hope... Yesterday was a joke in the bund....
Its also due to lack of local traders banging out a few k RT's a day.scalping etc... I was speaking to a buddy in the UK 3 months ago.There are now only around 80/90 Fixed income locals in London, and they do no where near the RT levels they were doing.Do the maths...Less people trading, those who do complete less RT's on a daily basis. The maths is simple.
My reason was not to point that volume falls on holidays, everyone knows this, but to point that 15th was holiday. Many do not know this because Assumption Day is not that big.
After 14 years of being a local have you got any more insights into the seasonal nature of the Eurex fixed income products that you can share with us?
8/15/07 was a VERY volatile session. (stocks made new 2007 lows) I didn't know you were a local? Here in Chicago? What floor/pit?