Trends in the CGBs 25 April 2016 Steady growth in CGB volumes - - PDF document
Trends in the CGBs 25 April 2016 Steady growth in CGB volumes Chart 1: Monthly CGB trade volume (notional) monthly sum Can$ bln 350 300 250 200 150 100 50 0 Nov-2007 Nov-2009 Nov-2011 Nov-2013 Nov-2015 Notes: Sum of the notional
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50 100 150 200 250 300 350 Nov-2007 Nov-2009 Nov-2011 Nov-2013 Nov-2015 Can$ bln Chart 1: Monthly CGB trade volume (notional)
monthly sum
Last observation: 31 December 2015 Source: Montreal Exchange, Bank of Canada calculations Notes: Sum of the notional of monthly quantity traded 6:00-16:30
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0.00 0.01 0.02 0.03 0.04 0.05 Oct-2007 Oct-2009 Oct-2011 Oct-2013 Oct-2015 Can$ Chart 2: Daily average CGB bid-ask spread
20-day moving average
Last observation: 23 March 2016 Source: Montreal Exchange, Bank of Canada calculations Notes: 20-day moving average of daily average bid-ask spread, 8:20-16:00
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50 100 150 200 250 Oct-2007 Oct-2009 Oct-2011 Oct-2013 Oct-2015 Can$ mln limit orders (50 cent) limit orders (25 cent) limit orders (10 cent) limit orders (5 cent) Chart 3: Notional value of visible CGB limit orders at four price ranges from the mid-quote rolling 20-day moving avg Last observation: 23 March 2016 Source: Montreal Exchange, Bank of Canada calculations Notes: 20-day moving average of daily average notional limit orders within four price ranges from the mid-quote, 8:20-16:00
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3 6 9 12 Nov-2007 Nov-2009 Nov-2011 Nov-2013 Nov-2015 Can$ mln Chart 4: Notional value of visible CGB limit orders at the best bid and ask
20-day moving average
Last observation: 23 March 2016 Source: Montreal Exchange, Bank of Canada calculations Notes: 20-day moving average of daily average notional limit orders at the best bid and ask, 8:20-16:00
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50 100 150 200 250 300 06:00 06:30 07:00 07:30 08:00 08:30 09:00 09:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30 16:00 Can$ mln Chart 5: Intraday CGB trade volume (notional)
five-minute intervals, 2015 data
Last observation: 31 December 2015 Source: Montreal Exchange, Bank of Canada calculations Notes: Five-minute sums of the notional of quantity traded, 6:00-16:30
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30 60 90 120 150 6:00 6:30 7:00 7:30 8:00 8:30 9:00 9:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30 16:00 Can$ mln limit orders (50 cent) limit orders (25 cent) limit orders (10 cent) limit orders (5 cent) Chart 6: Notional value of visible CGB limit orders at four price ranges from the mid-quote five-minute intervals, 2015 data Last observation: 31 December 2015 Source: Montreal Exchange, Bank of Canada calculations Notes: Five-minute averages of notional limit orders within four price ranges from the mid-quote, 8:20-16:00
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0.00 0.05 0.10 0.15 0.20 0.25 0.30 06:00 06:30 07:00 07:30 08:00 08:30 09:00 09:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30 16:00 Can$ Nov 2007-Aug 2008 2009 2011 2013 2015 Chart 7: Intraday CGB bid-ask spread
average bid-ask spread, five-minute intervals
Last observation: 31 December 2015 Source: Montreal Exchange, Bank of Canada calculations Notes: Five-minute averages of the bid-ask spread, 6:00-16:00
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50 100 150 200 250 6:00 6:30 7:00 7:30 8:00 8:30 9:00 9:30 10:00 10:30 12:25 12:55 13:25 13:55 14:25 14:55 15:25 15:55 Can$ mln limit orders (50 cent) limit orders (25 cent) limit orders (10 cent) limit orders (5 cent) Chart 8: October 15, 2014 notional value of visible CGB limit orders at four price ranges from the mid-quote five-minute intervals, October 15, 2014
Last observation: 31 December 2015
Source: Montreal Exchange, Bank of Canada calculations Notes: Five-minute averages of notional limit orders within four price ranges from the mid-quote, 8:20-16:00