Quote Size of E-Mini S&P 500 Futures From 2012-2020

Mar 4, 2020 - Given recent volatility in the markets due to the coronavirus situation, we have examined the quote size of e-mini S&P 500 futures (exchange symbol ES) from 2012 until now.

Guest UserMarch 4, 2020

Gas Oil Liquidity: Intraday Profiles

Feb 3, 2020 - We use intraday data from November 2019 until January 2020, we analyze the liquidity of the most traded Gas oil contract traded on ICE (exchange symbol G).

Guest UserFebruary 3, 2020

Changes in Market Microstructure of U.S Cash Treasuries

Oct 8, 2019 - We use intraday data from January 2018 until now to analyze the changes in market microstructure of U.S. Cash Treasuries.

Guest UserOctober 8, 2019

Recent Spike In Crude Oil and Changes in Futures' Market Microstructure

Sep 20, 2019 - Using intra-day data around the recent US crude oil spike in prices, we show changes in the market microstructure after Saudi attack on September 14th disrupted global supply in crude oil.

Guest UserSeptember 30, 2019

The Early Roll Of U.S 2-Year Treasury Futures (TUM9-TUU9)

May 16, 2019 - Based on our QB Roll Tracker, the 2-Year future has already rolled around 15% from TUM9 to TUU9 days before the roll period started.

Guest UserMay 15, 2019

Liquidity of E-Mini S&P 500 Futures From 2012-2018

Apr 4, 2019 - We examine the liquidity profiles of e-mini S&P 500 futures (exchange symbol ES) from 2012–2018 and show differences between our two measures of liquidity.

Guest UserApril 4, 2019

US 2-Year Treasury CTD Squeeze

Feb 26, 2019 - Determination of the CTD security is important for the shorts as they would be subject to deliver the security.

Guest UserFebruary 26, 2019

Recent Changes in E-Mini S&P 500 Futures' Market Microstructure: An Update

Feb 1, 2019 - Using intraday data from October 2018 till now, we examine the liquidity profiles of e-mini S&P 500 futures (exchange symbol ES) and compare the same against VIX

Guest UserFebruary 1, 2019

Recent Changes in Commodity Futures' Market Microstructure

Jan 7, 2019 - We have expanded our research using intraday data since September 2018 to compare liquidity changes for the following products: Oil VIX Index (OVX), NYMEX Crude Oil futures (CL), Natural Gas futures (NG), Heating Oil futures (HO) and RBOB Gasoline Oil futures (RBOB) since September 2018.

Guest UserJanuary 7, 2019

Recent FOMC Announcement and Changes in Futures' Market Microstructure

Jan 3, 2019 - Using intraday data since September 2018, we show that the liquidity has been decreasing for the most liquid crude oil futures’ contract over the last three months.

Guest UserJanuary 3, 2019

Recent Changes in Crude Oil Futures' Market Microstructure

Sep 20, 2019 - Using intraday data since September 2018, we show that the liquidity has been decreasing for the most liquid crude oil futures’ contract over the last three months.

Guest UserDecember 10, 2018