My Monthly Swaps Data Review for Risk Magazine was published today.
This shows that Average Daily Volume (ADV), a widely used metric for Futures and Options contracts, can now be calculated at a the same granular level for OTC Derivatives.
So just as CME Group publishes the ADV for the 10Y Treasury Note, it is now possible to calculate the ADV for 10Y Vanilla USD IRS (USSW10) and other commonly traded Swaps.
The availability of ADV metrics will help new participants analyse and expand into OTC Derivatives markets.
Click here to access the full Risk.Net article with all the charts, details and more.