Twenty Years of Open Interest

The Eurex Open Interest files break down the open interest by participant category based on the TradingCapacity field provided with each order request.

Fig. 1 below shows almost 20 years of daily history for the Euro STOXX 50 future (FESX on Eurex). The sum of the long open interests is shown above the ax-axis, the sum of short open interests below. Different colors denote the three participant categories, the shades distinguish different expiries.

There are a couple interesting features:

• The aggregate open interest has varied over this period but there is no long-term trend.
• Most of the open interest is held by agency accounts with proprietary and market makers coming in second and third, respectively.
• The roll periods exhibit temporary spikes in the long and short open interest - possibly from participants buying/selling the back month future before closing out the position in the soon-to-expire front-month contract.
• There are mutli-year periods where agency accounts are net long or net shore on aggregate.
• The spike of 6 Mio contracts in March 2020 represents 150 GEUR notional (2,500 x 10 x 6 Mio).

Fig. 2 below shows the same data for the Bund future (FGBL on Eurex).

Interesting to see that market makers and prop have virtually no open interest in the FGBL (the FESX is widely used for Delta-hedging cash equity positions e.g. for basis trading). In fact, their share of the open interest has steadily declined over the last 20 years. Furthermore, the long and short open interest of agency accounts is well balanced. Here the peak open interest of around 2 Mio contracts in March 2020 represents over 1 TEUR (I think "kilo", "Mega", "Giga", and "Tera" are underutilized in the context of currencies).