Why Do Pit-Hours Outlive the Pit?

Ozturk, Sait R.; Wel, Michel van der; Dijk, Dick J. C. van

doi:10.2139/ssrn.2627564

Cited by 2 publications

(4 citation statements)

References 58 publications

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“…With the closing of the pit trades, trading becomes less tethered to specific times of the day. Nevertheless, Ozturk et al (2015) shows that that electronic trading tends to occur during pit trading hours, despite the decline in the share of trades that occur in the pits. Ozturk et al (2015) suggest that the pits are an important venue for price discovery.…”

Section: Trading Hoursmentioning

confidence: 99%

“…Nevertheless, Ozturk et al (2015) shows that that electronic trading tends to occur during pit trading hours, despite the decline in the share of trades that occur in the pits. Ozturk et al (2015) suggest that the pits are an important venue for price discovery. In this paper, we examine the effect of a more dramatic decline in pit trading (the closure of the pits) on the timing of trading.…”

Section: Trading Hoursmentioning

confidence: 99%

“…In addition to the literature described above, there is also a related literature concerned with main trading hours and how they interact with pit trading hours. Ozturk et al (2015) investigate why majority of trades still occur during pit trading hours, even after the pit ceased to be a liquid and informative venue. They analyze the 30-year treasury futures market using a data set spanning 10 years.…”

Section: Literature Reviewmentioning

confidence: 99%

“…We, also, explore whether there were any changes in the popular trading hours on the electronic platform, once the pits have closed. Our analysis is complimentary to studies such as Ozturk, et al (2015), where they primary focus is on why the majority of electronic trades continue to occur during pit hours even though pit trading has long ceased to be a liquid and informative venue. In our analysis, we discover markets where trading hours have been shifting over the time period examined, but this is not true for all contracts analyzed.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

The effect of pit closure on futures trading

Gousgounis

Onur

2018

Journal of Commodity Markets

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and Esen Onur is an Economist at the U.S. Commodity Futures Trading Commission. The research presented in this paper was co-authored by Eleni Gousgounis, a CFTC limited term-consultant, and Esen Onur, who is a CFTC employee, in their official capacities with the CFTC. The Office of the Chief Economist and CFTC economists produce original research on a broad range of topics relevant to the CFTC's mandate to regulate commodity future markets, commodity options markets, and the expanded mandate to regulate the swaps markets pursuant to the Dodd-Frank Wall Street Reform and Consumer Protection Act. These papers are often presented at conferences and many of these papers are later published by peer-review and other scholarly outlets. The analyses and conclusions expressed in this paper are those of the authors and do not reflect the views of other members of the Office of Chief Economist, other Commission staff, or the Commission itself. All errors and omissions, if any, are the authors' own responsibility. The Effect of Pit Closure on Futures Trading Motivated by CME's decision to close down most of the futures pits in July of 2015, we analyze the changes in a number of important CME futures markets between 2012 and 2016. We find that although futures pit trading has been diminished to very low levels, it has not completely disappeared. While we do not have evidence of futures pit traders transitioning to the electronic market, we see that some futures pit traders are still active in options pit markets. When we explore the changes in daily trading patterns, we observe a shift in the timing of trading hours for a few select markets. In terms of execution costs, we do not observe any definitive effect of the pit closures on execution costs for most commodities in the electronic market. However, effective spreads for random length lumber futures appear to increase around the time of the announcement of the pit closures. A similar effect is observed for trading strategies in treasury futures during the roll periods.

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Section: Trading Hoursmentioning

confidence: 99%

Section: Trading Hoursmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

The effect of pit closure on futures trading

Gousgounis

Onur

2018

Journal of Commodity Markets

View full text Add to dashboard Cite

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The Effect of the Pit Closure on Futures Trading

Gousgounis

Onur

2017

SSRN Journal

View full text Add to dashboard Cite

and Esen Onur is an Economist at the U.S. Commodity Futures Trading Commission. The research presented in this paper was co-authored by Eleni Gousgounis, a CFTC limited term-consultant, and Esen Onur, who is a CFTC employee, in their official capacities with the CFTC. The Office of the Chief Economist and CFTC economists produce original research on a broad range of topics relevant to the CFTC's mandate to regulate commodity future markets, commodity options markets, and the expanded mandate to regulate the swaps markets pursuant to the Dodd-Frank Wall Street Reform and Consumer Protection Act. These papers are often presented at conferences and many of these papers are later published by peer-review and other scholarly outlets. The analyses and conclusions expressed in this paper are those of the authors and do not reflect the views of other members of the Office of Chief Economist, other Commission staff, or the Commission itself. All errors and omissions, if any, are the authors' own responsibility. The Effect of Pit Closure on Futures Trading Motivated by CME's decision to close down most of the futures pits in July of 2015, we analyze the changes in a number of important CME futures marketsbetween 2012 and 2016. We find that although futures pit trading has been diminished to very low levels, it has not completely disappeared. While we do not have evidence of futures pit traders transitioning to the electronic market, we see that some futures pit traders are still active in options pit markets. When we explore the changes in daily trading patterns, we observe a shift in the timing of trading hours for a few select markets. In terms of execution costs, we do not observe any definitive effect of the pit closures on execution costs for most commodities in the electronic market. However, effective spreads for random length lumber futures appear to increase around the time of the announcement of the pit closures. A similar effect is observed for trading strategies in treasury futures during the roll periods.

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Why Do Pit-Hours Outlive the Pit?

Cited by 2 publications

References 58 publications

The effect of pit closure on futures trading

The effect of pit closure on futures trading

The Effect of the Pit Closure on Futures Trading

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