Are there any numbers on what percentage of overall futures volume is daytraded (not held overnight)? For different symbols (like ES, 6E, FDAX, FESX) will there be a big variation in those numbers?
Compare average daily volume to the average change in open interest. A "high" ratio would be indicative of a greater degree of daytrading.
Or do it the other way: for each day, compute X = Volume / (TodaysOpenInterest - YesterdaysOpenInterest). Then calculate the average value of X. X is an approximation of (#Contracts_Daytraded / #Contracts_Positiontraded). This is method is slightly preferable because you get daily values of X, which you can plot on a chart if you wish.
If I understand this right you (nazzdack & MGJ) come to this idea because you have a situation in mind where there is a change in open interest (oi) from one day to another that is nearly as big as the volume traded on that day. Let's say change in oi from 100k to 50k = 50k, volume traded = 60k. Ok, in this case you might assume that only 10k was daytraded. As far as I know (unfortunately for the computation) the change in oi is normally only relatively small. In this case it will be impossible to estimate the volume daytraded from oi: Perhaps a given future XY has a daily volume of 100k. Assume that on some day 10k of contracts are sold that have been held before this day and independently of this another 10k contracts are bought. So in my understanding this would imply NO change between "YesterdaysOpenInterest" and "TodaysOpenInterest" at all. The change of open interest would be zero. But if you only know that the change in oi is 0 you cannot estimate how much volume was daytraded, because the buy/sell could have been 10k as assumed above (resulting in daytrade volume of 80k) or could as well have been 30k (resulting in daytrade volume of 40k).
1) You're "splitting hairs". 2) I did say to use "average" numbers. This implies using a decent-sized sample of data. 3) If March-09 10-year Notes have a daily volume of 2-million contracts and open interest is unchanged, for me that's indicative of enormous daytrading. 3) Theoretically, it's possible that there could have been a change in ownership from one group of long-term investors to another group of long-term investors but it's nearly impossible because you'd have to assume that speculative traders were absent. Notice the use of the word "theoretically", "could have" and "assume". 4) If E-Mini S&P-500 futures have a daily volume of 3-million contracts and open interest is unchanged, that would be indicative of a larger degree of daytrading compared to the 10-year Note. 5) FWIW, you should notice a "positive feedback effect" whereby the highest volume markets tend to have the most daytrading.
hats off to the MACRO whales ... they sure can move the money around getting richer every day heck they are taking most of my profits from last week www.youtube.com/watch?v=nK2-oxisiu4