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Who Trades Futures and How: Evidence from the Heating Oil Futures Market

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  • Louis Ederington

    (University of Oklahoma)

  • Jae Ha Lee

    (Sungkyunkwan University)

Abstract

Dividing the 223 largest traders of heating oil futures between June 1993 and March 1997 into 11 different line-of-business groupings, we document their trading activity. We find substantial and significant differences between the 11 trader types in their propensity to take long, short, or spread positions; the terms-to-maturity of their holdings; their turnover rates; and the size of their positions. We also find that both trading volume and open-interest positions are dominated by potential hedgers but that it is not appropriate to treat traders whom the Commodity Futures Trading Commission classifies as commercials as hedgers.

Suggested Citation

  • Louis Ederington & Jae Ha Lee, 2002. "Who Trades Futures and How: Evidence from the Heating Oil Futures Market," The Journal of Business, University of Chicago Press, vol. 75(2), pages 353-374, April.
  • Handle: RePEc:ucp:jnlbus:v:75:y:2002:i:2:p:353-374
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