From source to financial context
ACTA DIURNA reporting framework
The context
Coverage spans global exchange and OTC markets, implied volatility and skew, futures curves, volume, open interest, CFTC positioning and swap repositories. We follow venues across the Americas, Europe, Asia-Pacific and the Middle East, while treating an exchange, repository and clearinghouse as distinct functions.
A position is defined by its contract, expiry, multiplier, quote units and settlement basis. Avoid stitching changing front-month futures together as if they were one instrument’s return. Also distinguish a futures-to-futures slope from the relationship between a futures contract and comparable spot.
What we track
Definitions and interpretation below describe our coverage. They are not live readings or mechanical buy/sell instructions.
Contract and expiry
The exchange or bilateral contract, underlying, maturity, multiplier, option terms and cash or physical settlement rules.
How to read it: A contract count is not a universal exposure unit. A smaller contract can generate more reported volume without representing a larger market or greater risk.
Source & methodology ↗Futures term structure
Prices for matched near and deferred contracts observed during the same trading session.
How to read it: Deferred minus nearby price describes the two-contract slope. Storage, financing, convenience and delivery conditions can affect it; it is not a certain forecast of future spot.
Source & methodology ↗Implied volatility and skew
Option-derived volatility by maturity and strike, with the index or model identified.
How to read it: Implied volatility is distinct from subsequently realized movement. Skew can reflect demand for protection, but does not supply a model-free probability of a market crash.
Source & methodology ↗Volume and open interest
Contracts traded during a session and contracts remaining outstanding at the measurement time.
How to read it: Every open contract has both a long and a short. Rising price with rising open interest does not prove that only bullish money entered the market.
Source & methodology ↗Trader positioning
CFTC categories and long, short or spreading positions within a specified report family and contract.
How to read it: Legacy, disaggregated and financial-futures categories differ. Position dates precede publication; category labels do not reveal the purpose of every individual trade.
Source & methodology ↗OTC size and credit exposure
Notional outstanding, gross market value and separately defined credit exposure from dated statistics.
How to read it: Notional is a reference amount, not a loss estimate. Netting, collateral and market value change the economic exposure; turnover and outstanding stocks are different measures.
Source & methodology ↗How we cover it
Coverage includes rates, currencies, equity indices, commodities and credit where supported by source data. Swap execution, repository reporting, central clearing and bilateral collateral terms are identified separately.
Analysis follows initial margin, variation margin, eligible collateral, basis mismatch, roll costs and settlement. Negative futures prices are possible; percentage changes around zero or negative baselines need different treatment.
What the numbers can miss
Positions and exposures can span multiple contracts or offset elsewhere. Public aggregate data cannot reconstruct a specific institution’s full risk book.
An option premium, futures notional and swap market value are not interchangeable. A profitable hedge at final maturity may still require cash to meet margin in the meantime.
Sources & editorial context
This guide preserves the original derivatives chat’s market-structure scope and corrected interpretation rules. Current quotations, contract availability and margin terms require fresh verification.
- CME Group — Markets and contract specifications
- Cboe — VIX methodology and products
- CFTC — Commitments of Traders
- BIS — Derivatives statistics
Coverage framework informed by the publisher’s Derivatives Markets reference discussion. Discussions guide the reporting agenda; factual claims and metrics are checked against the identified source institutions.