The Futures Industry Association (“FIA”) released an empirical study on changes in the level of volatility in futures markets. The study focused on 15 futures contracts listed on four futures exchanges: CME Group, Eurex, Intercontinental Exchange and NYSE Liffe. The study found that while prices in these 15 markets moved through high and low cycles of volatility and experienced numerous spikes due to macro-economic events, volatility attributable to structural factors did not change in most of these contracts. According to the study, innovations such as algorithmic and high-frequency trading do not appear to have affected the volatility of prices.
