Thursday, October 15, 2009

One Observation Regarding the Distribution of Trade Sizes in ES Futures

As an initial exercise, I took a look at the first 10 minutes of trading in the S&P 500 Index (ES) futures. We transacted 82,782 contracts. Here's a breakdown of 10-minute volume by trade size:

1 lots: 7341 contracts
1-5 lots: 24,847 contracts
6-10 lots: 10,791 contracts
11-49 lots: 25,997 contracts
50+ lots: 21,147 contracts

As reported earlier, the CME is reporting volume in smaller blocks, based on the identity of the counterparty. Thus, if you sell a 50-lot, this would be reported as 50 one-lot trades if you transacted with 50 different counterparties. Conversely, it could be reported as a single trade if one counterparty took the other side.

The distribution of trade size from the little exercise above suggests that a significant portion of volume is transacted in sizes of 11+ contracts; about a quarter of volume transacted in 50+ lot units. In future exercises, I'll examine other time periods during the day.