Cool Source of Information: CME Group Volume and Open Interest Report
In researching the decline in the corn markets over the last week, I found the CME Group’s Volume and Open Interest Report, here: http://www.cmegroup.com/daily_bulletin/preliminary_voi/VOIREPORT.pdf
It would doubtless be a lot more interesting if we were trading options, but there is interesting information about the volume of trades in various futures markets as well.
See page 2 for daily volumes in agricultural futures. I hope to keep track of this over the next few days (weeks?) to get a sense of whether liquidity affects the futures prices or volatility.
Also, what is a swap, is it more associated with options trading, and does it affect futures trading?