Liquidity (Volume)
For exchange traded instruments, our estimate of mean volume is often based on actual trading volume, but not always. For OTC instruments, for exchange traded instruments where we do not have actual trading volume, and for certain derivatives, we will use models or other methods to estimate mean volume. Details for select security types are provided below.
When we do use actual trading volume, our default estimate of mean volume is based on the mean of the most recent 63 weekdays (approximately 3 months).
Actual volume data can be supplemented or overridden by the client at the security level by providing volume data in a market data file. In special cases, default volume for individual securities can also be set a custom security property.
Security Type Methods
Bonds: We will use the actual trade volume if it exists. If we do not have actual trade volume, we will base our estimate on the bid-ask spread. If we do not have bid and ask price data, we will base our estimate on the notional outstanding and age of the bond. If those methods do not work, the volume is set to zero. For information on parameters, see Bond Volume Calculation.
Collateralized Loan Obligations: Investment grade CLOs are set to $635 million per day. Non-investment grade CLOs are set to $162 million per day (Sources: Santander, 2023; Invesco, 2024).
Equity: Actual trading volume is the primary method. If trading volume data is not available, we will default to a trading volume of $1,000,000 per day.
Futures: We will use the actual trade volume if it exists. If that does not exist, we fall through to a default, long-term average trading volume.
FX Forwards and FX Spot: Set by currency pair, based on Bank of International Settlements (BIS) Triennial Central Bank Survey (Source: BIS, 2025). Average daily volume for all markets was $9.60 trillion.
Interest Rate Swaps: Set by currency, based on Futures Industry Association (FIA) data (source: FIA, 2025).
Options: Even under the best circumstances, the actual trading volume of options can be erratic, and may not reflect the actual depth of the market. For these reasons, even when it is available, rather than using actual trading volume, we calculate volume based on the option’s delta and the volume of the underlying security. More precisely,
[option volume] = [underlying volume] / MAX(0.01, |delta|)
As an example, if you own 100 options with a delta of 0.50, this is equivalent to owning 50 shares of the stock. If the stock trades 5 shares per day, then you have 50/10 = 10 days volume. The option volume is then 5/0.50 = 10, so that 100/10 = 10 days.
Repurchase Agreements: Based on Securities Industry and Financial Markets Association (SIFMA) survey (Source: SIFMA, 2025). Average daily volume was $7.0 trillion.