As CME SOFR futures become increasingly active, we look at how the daily volume profiles evolve for the 1M and 3M CME SOFR contracts. It would be natural to assume they will be statistically similar. However, APAC and EU market hours have a clear stronger interest in the 3M contract than the 1M contract. The 1M contract then picks up activity after the European close / Chicago lunchtime. This has important implications for SOFR contract liquidity. To achieve best execution in these new CME SOFR contracts, it is essential to model each contract independently.
Please contact us at sales@itarle.com to see how Itarle use this approach to reduce execution impact costs to deliver superior execution prices.
HKEX recently went live with China A shares 50 Futures. Itarle bring the 'liquidity at touch' intra-day statistics to life with a seasonal theme. Knowledge of intra-day liquidity patterns is essential for liquidity capture. Looking forward to uncovering many more liquidity patterns next year. Happy holidays and best wishes for 2022! Team Itarle
Not every exchange functions for just one period of time a day. There are a number of exchanges that provide several trading sessions. How does this change the liquidity profile of a traded stock? To illustrate the impact, Itarle produced the ‘at-touch’ median liquidity profile for the stock of one of the biggest Russian companies […]
