Blog

Our Experts Comment the Times Series

See All the Comments
rss

Volatility & Volume (from 4 to 8 Aug)

13 August 2014 by HCM

After the flurry of activity due to the recent market volatility, DTCC published today the credit derivatives activity for the week ending the 8th of august. The European market closed at the widest level of the summer last Friday. As expected, the volume are increasing at 140BUSD per day (all indices included). This is close to the January level and one of the busiest week since the data are published when excluding the rolls. The indices are attracting all the hedging activity when the cash is illiquid. The hedging activity focused more on the European market with trading activity up 50% compare the week before. The US hedging has stabilised and as a consequence the US credit out performed the European credit last week.

Last Week of July Index Average Daily Traded Volume (DTCC)
Index Volume (Billion) Weekly Change
CDXIG2237.76+3%
ITXEB2145.41+53%
CDXHY2217.61+5%
ITXEX2117.18+51%
ITXES2111.95+43%
ITXEU210.32+43%