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

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.