Eurex - Fixed Income Futures Volume Down 10%

Discussion in 'Index Futures' started by THE-BEAKER, Oct 10, 2007.

  1. Well they say the proof is in the pudding.

    I think that my case for algo based systems decreasing long term volume is correct.

    Year on year change in fixed income futures volume is:

    Bobl - down 10.01%.
    Bund - down 10.35%.
    Shatz - down 6.97%.

    2007 as a whole compared to 2006 will be on target to be down on fixed income futures for the first time ever.

    This is in a market where eurex changed the bobl to a 1/2 tick.

    The spring sell off in the 10 year causing large volatility.

    The summer subprime and credit crunch hitting fixed income and causing huge volatility.

    Their volumes are down on these set of events.

    The only conclusion I can draw from this is a lot of people/bank /players are being squeezed out and as eurex is algo dominated the volumes will drop as less people play.

    The shatz volume month on month is down 17 % alone.

    Based on October volume so far they are trading 30% to 40%below their normal daily average volume.

    In the long term as the volume plummets and this will work through all of their stock related contracts as well, algo based systems will have their exchange fees increased to cover the shortfall in exchange revenue.

    Also due to algo based systems being largely successful in quieter/normal trading ranges they will find it harder to find the counterparty on the other side of the trade.

    Wake up exchange the numbers dont lie.

    Algo based systems decrease volume in the long run.



    Question : what does the author want to tell you ? =>

    Electrical resistance is a measure of the degree to which an object opposes an electric current through it. The SI unit of electrical resistance is the ohm. Its reciprocal quantity is electrical conductance measured in siemens. Electrical resistance shares some conceptual parallels with the mechanical notion of friction.

    The resistance of an object determines the amount of current through the object for a given voltage across the object.

    R = \frac{V}{I}


    R is the resistance of the object, measured in ohms, equivalent to J·s/C2
    V is the voltage across the object, measured in volts
    I is the current through the object, measured in amperes
  3. Answer :

    The path of least resistance describes the physical or metaphorical pathway that provides the least resistance to forward motion by a given object or entity, among a set of alternative paths. The concept is often used to describe why an object or entity takes a given path.
  4. the website and forum for retired traders who do not make money anymore and are now self employed electricians can be found at the following:

    hope this helps.
  5. KS96


    Beaker, why do you have to trade fixed-income on Eurex? We all know that mostly it isn't better than a casino.
    Move on...
  6. Beaker was just making a point. The Bund and Bobl used to be a great trade until the exchange allowed the machines to take over.
  7. KS96


    I agree with that. But do you really think the battle of the bots will end just because some people complain in this forum?
    Write to Eurex or to the financial press.
  8. i have spoken to the exchanges and they are well aware of the benefits algos bring and the downsides.

    they were very disappointed that the majority of them pulled out over the august and september volatile period recently.

    what they are paying attention to is volume.

    hence a drop in volume over a long period of time will allow them to implement a different strategy that increases volume.

    i.e. a plan b to increase volume by making it harder for algos to trade and allow much more natural business back in.

    decreasing volume in a busy market is an exchange no-no.

    re your other remark about moving on to something else, the reason i remain trading eurex bonds is because it is still profitable.

    again my main point here is that record exchange volume worldwide has been as a result of electronic markets and also mainly increase of algo based systems.

    if exchange volumes fall and the majority of accounts are algo based then they have to accept that it is due to such an efficient pricing tool that all algos work on there will no other counterparty to take the other side.

    paper and natural business only accounts for a small percentage.

    therefore i maintain my conclusion that this will all come full circle.

    hope this clarifies my point.

    im not moaning about an old trading method that does not work anymore.
  9. European Derivatives Exchanges.

    ADEX Athens Derivatives Exchange
    EDX London Derivatives Exchange
    EUREX� European Derivatives Exchange
    EUREX� Bonds Eurex Bond Platform
    Amsterdam Euronext Derivatives Market
    Brussels Euronext Derivatives Market
    London (LIFFE) Euronext Derivatives Market
    Lisbon Euronext Derivatives Market
    Paris Euronext Derivatives Market
    IDEM Italian Derivatives Exchange
    ICE/IPE IntercontinentalExchange
    LME London Metal Exchange
    MEFF Madrid Derivatives Exchange
    MOT Fixed Income Market
    MTS EuroMTS Bond Market
    NDX North Derivatives Exchange
    OMX Scandinavian Derivatives Exchanges
    ÖTOB Austrian Derivatives Exchange
    ÖTOB Warrants Austrian Derivatives Exchange

    Asia and Pacific Exchanges.

    ASX Australian Stock Exchange
    ASX-D Australian Stock Exchange Derivatives
    DGCX Dubai Gold & Commodities Exchange
    DME Dubai Mercantile Exchange
    HKFE Hong Kong Options & Futures Exchange
    HKSE Hong Kong Stock Exchange
    JADE The Joint Asian Derivatives Exchange
    KRX Korea Exchange
    NCDEX National Commodity & Derivatives
    Exchange, India
    NSE National Stock Exchange of India
    Equities, Derivatives & Futures
    OSE Osaka Securities Exchange
    SFE Sydney Futures Exchange
    SGX Singapore Exchange - Derivatives & Cash
    TAIFEX Taiwan Futures Exchange

    American Exchanges.

    AMEX American Stock Exchange
    BOX Boston Options Exchange
    BrokerTec BrokerTec Cash Treasury Bond
    CBOE Chicago Bord Options Exchange
    CBOT Chicago Board of Trade
    CFE CBOE Futures Exchange
    CME Chicago Mercantile Exchange
    ICE Intercontinental Exchange
    ISE International Securities Exchange
    KCBT Kansas City Board of Trade
    MexDer Mexican Derivatives Exchange
    MGEX Minneapolis Grain Exchange
    MX Montreal Exchange
    NYBOT New York Board of Trade
    NYMEX New York Mercantile Exchange
    NYSE Euronext NYSE Arca Equities Exchange
    NYSE Euronext
    NYSE Arca Options Exchange
    OneChicago CBOE & CBOT Single Stock
    Futures Exchange
    PBOT Philadelphia Board of Trade
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    Redi Orderrouting Stocks
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    USFE US Futures Exchange
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  10. Aha ! Clarified....
    #10     Oct 10, 2007