MIDAS and the CFTC Commitments of Traders Report

Using MIDAS with Open Interest Data

Andrew Coles

In Chapter 10 one of the possibilities considered for longer-term FX traders was to use the MIDAS method with open interest. At the time, this option wasn't considered further because it was suggested that it should be a significant area of investigation in its own right. Accordingly, the remainder of the chapter explored so-called nominal curves in the FX markets. One motivation for this chapter would therefore be to explore “open interest curves” (Open Interest Weighted Average Price (OIWAP) instead of VWAP) in the FX markets as an alternative to “nominal curves.” Yet open interest is regarded as a quite distinct form of market information ...

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