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Hello Group,
What's the best way to handle Volume and Open Interest in rolling
("continuation") commodity/currency contract?
I've just attempted to combine a chart for Australian dollar, by simply
adding volume and open interest of all active (traded) contracts for every
bar. It seems that volume increases quite a bit every 3 months, around
expiry, which is understandable. But also open positions drop quite sharply
after expiry.
Except for the expiry of last June contract, when open interest saw some
runup just prior to expiry date (thus open interest behaved like volume), it
looks like there's always this drop in open interest after expiry. I didn't
realize there's so many "sleeping" positions in this market ;-))
The trouble is, with simply adding volume and open interest, and those
periodical runups and drops, any longer term analysis which uses these two
seems a bit pointless here.
Best regards
Yarroll
***
http://republika.pl/yarroll999/
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