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HHI Insights Get a grasp of market concentration in multiple dimensions

Key product characteristics

  • The Herfindahl-Hirschman-Index (HHI) is a commonly accepted measure of market concentration
  • It helps market participants to assess the quality of available liquidity and to identify concentration risk
  • The index captures the number of participants in the market and is expressed through an index value ranging from 0 to 1.
  • Index values closer to 0 represent more equally distributed market shares where market share is defined as fraction of the total traded volume executed by a trading participant
  • A value approaching 1 signals an extremely concentrated market with a few participants having a larger market share.
  • HHI Insights does not just measure the number of participants, but also takes the respective volume into consideration for the ratio, e.g. 10 participants trading each 20 contracts would create a lower HHI value than 10 participants, where one trades 65 contracts and the other 9 trade each 15 contracts
  • Along with an overall market concentration measure, HHI Insights also provides concentration indicators for several breakdowns, e.g. buy vs. sell and aggressive vs. passive
  • Using Xetra® and Eurex® proprietary data, HHI Insights provides unique insights into market concentration and relative demand imbalances
  • It gives customers additional guidance when deciding whether to add a new market to their trading universe, when setting maximum position limits, and when adjusting  how aggressively they would like to enter and exit positions

Data Details

  • HHI Insights is calculated as the sum of the squared market shares of each firm competing in the market
  • The figures are calculated daily and delivered T+1
  • The concentration measures are available for both Eurex and Xetra instruments
  • 24 individual daily HHI figures for Eurex® and 18 individual daily HHI figures for Xetra®
  • Xetra® HHI Insights is calculated on an ISIN level basis
  • Eurex® HHI Insights is calculated on an expiry basis plus further breakdowns for options
  • Xetra HHI Insights and Eurex HHI Insights are available at the the Deutsche Börse Data Shop and can be ordered separately
  • Please contact us if you are interested in sample files

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