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February 1, 2008


Volume-at-Price for the Euro Stoxx 50 Futures

Here are the daily and weekly charts for the Euro Stoxx 50 futures (front month) from the beautiful volume-at-price perspective. The SocGen traders turned a $2 billion loss into a $7 billion loss by hitting the market so hard, mainly selling the Euro Stoxx 50, but they really had no choice — they had to get out as quickly and quietly as possible, every trader who has ever found himself “accidentally” stuck on the wrong side understands this in his bones.

“The Dow Jones EURO STOXX 50 (Price) Index is a capitalization-weighted index of 50 European blue-chip stocks from those countries participating in the EMU. The equities use free float shares in the index calculation. The index was developed with a base value of 1000 as of December 31, 1991. This index uses float shares.”

The Euro Stoxx 50 futures are by far the most actively traded equity index futures in Europe. The FTSE and the CAC are the next most active, but don’t really compare. Interestingly, the Swiss market futures are more active than the DAX, I believe. (Update: I’m wrong about this… see the comments section.)


Click to enlarge (Euro Stoxx 50, Daily)



Click to enlarge (Euro Stoxx 50, Weekly)

This entry was posted on Friday, February 1st, 2008 at 4:01 pm (utc+8) and is filed under Trading.

7 Responses to “Volume-at-Price for the Euro Stoxx 50 Futures”

  1. Markus said:
    February 1st, 2008 at 6:07 pm

    Sorry, but the DAX Futures were trades almost 5 times as much as the SMI at the EUREX.

  2. C. Maoxian said:
    February 1st, 2008 at 9:50 pm

    Markus: Then I’m looking at the wrong data … I was judging it by open interest.

  3. Markus said:
    February 1st, 2008 at 11:40 pm

    Chairman, I had a look at the monthly statistics at
    http://www.eurexchange.com/market/statistics/monthly/2007_en.html
    As for 12/2807 open interest for the FDAX was 198.114 compared to 171.761 contracts for the FSMI. The average daily volume of the FDAX is about 4-5 times more than that of the FSMI.

  4. Tom D said:
    February 2nd, 2008 at 3:13 am

    Stunning graphics for that volume at price chart. Paul Klee would agree I’m sure. ;)

  5. C. Maoxian said:
    February 2nd, 2008 at 7:07 am

    Markus: Thanks for the link … I thought it was strange that the DAX would be less active than the SMI — thanks for the correction.

  6. The tranquil trader said:
    February 4th, 2008 at 8:36 pm

    Hi these graphs look impressive. How do you get them? I am an avid believer in market profile….

  7. C. Maoxian said:
    February 4th, 2008 at 8:47 pm

    TTT: Aren’t they fabulous? They’re a new feature on the Bloomberg, released late last year I believe.

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