EUR/USD Futures: Volume and Open Interest

Volume and Open Interest since the inception of organized exchanges upon passage of the Commodity Exchange Act of 1922 was the premier trading indicator and its power as a market prediction is as much popular today as it was when markets began.  Commitment of Traders reports derived from Volume and Open Interest studies. Volume is defined as number of contracts bought or sold while Open Interest is the trade signal.

Rising Volume and Open Interest is bullish or trend. Low Volume maybe a correction but it depends if open interest rises. A rise is a correction and fall could be a reversal.  Average volume is a range trade. When Volume and Open Interest rises and price declines, good chance for a price downtrend.

For EUR/USD Futures on the soon to expire Dec 16 contract from Monday December 5th, Volume was 322, 164 contracts or in USD terms 1, 610,820,000. Open Interest was 436,620 contracts or USD 2,183,100,000. The daily change was minus 1,111 contracts or USD 5, 555, 000. Monday’s Volume was the second highest daily Volume since November 9 at 467, 285.

Tuesday Dec 6, EUR/USD Futures Volume was 231, 557 or USD 1,157,785, 000 and Open Interest 433, 237 or USD 2,166, 185, 000. The daily change was minus 3,383. or USD 16, 915, 000. From Monday to Tuesday, Volume dropped 90,607 contracts or USD 453, 035, 000 and Open Interest changed by minus 2,272 or USD 11,360,000.

Wednesday Dec 7, Volume was 152,424 or USD 762,120,000. Open Interest was 428,348 or USD 2,141,740,000. The change was minus 4,889 or USD 24,445,000. From Tuesday to Wednesday, Contracts dropped by 79,133 or USD 395,665,000. The change was minus 4,889 or USD 24, 445, 000.

Thursday Dec 8, Volume was 390,913 or USD 1, 954, 565, 000 and graduates to 2nd highest Volume since Nov 9. Open Interest was 428, 413 or USD 2,142,065, ,000. The change was + 65 contracts or USD 325,000. From Wednesday to Thursday , contract volume rose to +238, 489 or USD 1, 192, 445, 000. Open Interest was + 65.

Friday Dec 9, Volume was 275,036  or USD 35,720,000. Open Interest 424,945. or USD 2,124, 725, 000.  The overall daily change was minus 3,468 or USD 17, 340, 000. From Thursday to Friday, Volume dropped minus 115,877 or USD 579,385,000. Open Interest changed down 3,468 or USD 17,340,000.

Open Interest overall remains extraordinarily high. Contracts from Monday to Friday averages to 274,418. Open Interest averaged 430,312 and about 1.6 times of Volume.


Brian Twomey  Inside the Currency Market,


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