Introduction

This analysis examines market trends for common futures contracts, focusing on Average Daily Volume (ADV) and Volatility using market data from 2021 to 2023. Leading into Christmas and New Year, the data highlights seasonal effects in volume and volatility:

• Seasonal Declines: ADV decreases across most categories due to the festive season and reduced liquidity.
• Volatility Spikes: Driven by liquidity constraints and unique market events such as central bank actions, geopolitical tensions, and weather disruptions.
• Santa Claus Rally: Equity indices typically rally and lift volume during the last week of December.

US Rates Futures (2yr, 5 yr, 10 yr, Ultra-10 yr, Long Bond, Ultra-30 yr) 

• Volume: Declines approaching Christmas due to reduced market participation but stabilizes by New Year as liquidity returns. A slight volume uptick is observed in late December during fiscal policy debates.
• Volatility: Spikes can occur due to liquidity constraints, central bank decisions, eco-data releases, or geopolitical developments.

EU Rates Futures (Euro-Bobl, Euro-Bund, Euro-Buxl, Euro-OAT, Euro-Schatz, Long Gilt, Long Term BTP)

• Volume: Declines in December, with notable lows during the shortened UK trading period. Activity occasionally picks up due to market reactions to ECB policy speculation.
• ‍Volatility: Spikes can occur due to liquidity constraints, central bank decisions, eco-data releases, or geopolitical developments.

STIR (Short-Term Interest Rate) Futures (Euribor, 3-Month SONIA, 3-Month SOFR)

• Volume: Drops during the festive season but rebounds in early January as central banks adjust monetary policies.
• Volatility: Muted around Christmas but can be susceptible to year-end funding pressures and financial news.

Equity Index Futures (S&P e-mini, NQ e-mini, RTY e-mini, DJ e-mini, Euro Stoxx, FTSE 100, CAC 40, DAX)

• Volume: Peaks early in December for rebalancing, with the 'Santa Claus rally' lifting activity in the final trading week.
• ‍Volatility: Typically, lower in the week of Christmas but may rise right after New Year’s Eve, particularly in tech-heavy indices like NQ and ES

Commodity Futures

Agriculture Futures (SRW Wheat, Coffee, Corn, Cotton, Soybean, Sugar No. 11)

• Volume: Gradual declines into Christmas but experiences small pre-holiday surges driven by seasonal demand patterns across the sector.
• ‍Volatility: Generally steady, with occasional spikes tied to global weather events

Energy Futures (Brent Crude, Crude Oil, Heating Oil)

• Volume: Remains relatively robust during the holidays compared to other instruments, driven by seasonal demand patterns.
• ‍Volatility: Prone to spikes, reacting to geopolitical developments and changes in seasonal demand.

Livestock Futures (Live Cattle, Lean Hogs)

• Volume: Declines slightly into Christmas, but occasional increases can be seen due to holiday-related consumption and production adjustments.
• Volatility: Prone to spikes tied to production reports or unexpected supply issues.

Futures Product List: 

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