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Volatility and Volume

06 August 2014 by HCM

The market survived five active trading sessions since July the 31st the start of the market correction with a 3 sigma widening in the credit space. Today, the market was again very volatile with the iTraxx Europe trading from 67 to 70, then rallying and closing just below 67. The iTraxx Xover is underperforming again today with a higher volatility than the iTraxx Europe. With the volatility the volumes are back. The US indices are a little bit ahead of the European one, we will publish the same table next Wednesday to measure the increase of the hedging activity since the start of the week.

Last Week of July Index Average Daily Traded Volume (DTCC)
Index Volume (Billion) Weekly Change
CDXIG22 36.82183%