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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

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 > Data Shop Historical Data and can be ordered separately
Please contact us if you are interested in sample files