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Does anyone know where I can see Futures volumes? None of the boards show it.

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  • How would you know whether the option volume is pro index or against index? – Bob Baerker Oct 18 '20 at 4:50
  • By cross-referencing it with ISEE. (measures Opened positions only). – Steve237 Oct 18 '20 at 15:12
  • If I open a new long call position, how do you know if I am bullish or bearish? – Bob Baerker Oct 18 '20 at 15:54
  • Well chances are likely that you would be Bullish. (as opposed to that being a protective-insurance against your underlying short position). The size of the position generally speaks to that also. – Steve237 Oct 18 '20 at 18:18
  • Yes, a long call could be bullish or it could be hedging a bearish short position. It's also possible that the market maker has done a conversion in order to offset a put buyer. IOW, trader A is buying puts (bearish) and the market maker buys the stock as well as a same strike call to offset. The underlying has already been counted in your tally of index volume and now you have offsetting positions in the put and call so they are irrelevant to your total tally of option volume. And what if a large trade was a spread? My point is that the data total is not 100% reliable. – Bob Baerker Oct 18 '20 at 18:33
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Most futures exchanges report trade volumes. For example here is some data for Eurodollar contracts on the CME.

https://www.cmegroup.com/trading/interest-rates/stir/eurodollar_quotes_volume_voi.html#tradeDate=20201117

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  • NICE!!! Finally! Yes I found ES in here too....Thx:) – Steve237 Nov 19 '20 at 3:16
  • Do you know if this data is available hourly? (or better than daily rate). Also this data is from prior day - anything from current Futures trades? Even delayed? @ThatDataGuy – Steve237 Nov 19 '20 at 4:23
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    Data vendors like Reuters, bloomberg etc can give you historic and live trade indications (for a price). There may even be free sources out there. You can also get connections to exchanges directly. The APIs are not especially hard to use. You can build your own periodic aggregates from live or delayed trade messages. Note that building your own aggregatations has it's own pitfalls. If for example, your recording computer is off for an hour etc. – ThatDataGuy Nov 19 '20 at 13:33

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