April 2024
ICE Interest Rates Report
Gain the latest trends and insights with our monthly newsletter on ICE's Rates market.
Interest Rate Derivatives
The largest marketplace for U.K. and European interest rates futures and options including Euribor, SONIA, Gilts and SARON futures
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Euribor Futures and Options
SONIA Futures and Options
SARON Futures
Long Gilt Futures
ESTR Futures and Options
Interest rates contract performance
| Product code | Ticker | Apr 24' ADV | YTD ADV | Open interest | |
|---|---|---|---|---|---|
| Euro Rates | |||||
| Euribor Futures | I | ERA | 1,423,059 | 5,573,919 | 4,245,773 |
| Euribor Options | I, K, K2, K3, K4, K5 | ER | 279,381 | 1,505,566 | 11,675,814 |
| ESTR Futures | ER3 | TKYA | 89,473 | 179,491 | 90,248 |
| UK Rates | |||||
| SONIA Futures | SO3 | SFIA | 639,236 | 2,224,121 | 2,282,954 |
| SONIA Options | SO3, SY1, SY2, SY3, SY4 | SFI | 144,574 | 571,404 | 5,206,588 |
| Long Gilt Futures | R | GA | 274,805 | 1,068,827 | 635,575 |
| Long Gilt Options | R | GA | 1,792 | 3,336 | 7,158 |
| Swiss Rates | |||||
| SARON Futures | SA3 | SSYA | 22,403 | 124,913 | 248,714 |
| US Rates | |||||
| Rate Lock | 30C | VAIA | 996 | 4,272 | 861 |
* Launched ESTR: Nov. 1, Gilt Options: Aug. 1.
Product highlights
Euro Rates - Euribor and €STR
April was another very strong month for ICE’s Euro interest rate franchise with Euribor futures volumes reaching 29.8 million contracts, up 9% month on month (MoM) and an increase of 74% vs April 2023. Average daily volumes (ADV) were 1.4 million contracts up 4% MoM and 49% up vs April 2023. Open Interest (OI) grew 3% MoM, up 17% YTD vs 2023. Euribor options volumes traded 5.8 million contracts, down 17% MoM, but still notably up 46% vs April 2023 and 28% up YTD vs 2023. ADV was 279k, a 28% increase YTD vs 2023. OI was at 11.6 million contracts, up 8% MoM, with the combined futures and options OI at 15.9 million contracts up 6% MoM.
ICE’s 3M €STR futures continued to grow in strength. Another record month since its launch on Nov. 1, 2023, with 1.8 million contracts traded, a significant 90% MoM increase with ADV at 89.4k by up 81% MoM. OI, too, hit another record high at 90.2k, a 44% MoM increase.
U.K. Rates - SONIA and Gilts
A record volume month in April 2024 for ICE's SONIA futures & options market with a combined 16.5 million contracts traded. SONIA futures volumes hit a record high of 13.4 million contracts up 24% MoM and 162% up vs April 2023. ADV, too, came in at a record high at 639k, an increase of 41% YTD vs 2023. SONIA options volumes printed 3 million contracts up 14% MoM and up 242% YTD vs 2023, with ADV at 144.5k up 232% YTD vs 2023.
A very solid month in Long Gilts Futures with volumes at 5.7 million contracts up 20% MoM and an increase of 74% vs April 2023. ADV was 274k, up 23% YTD vs 2023. OI saw a small 1% MoM uptick, up 46% YTD vs 2023. Gilt options continued to gain momentum with a record volume at 37.6k since the August 2023 relaunch up 265% MoM.
Swiss Rates - SARON
A slower month for SARON after the Swiss National Bank delivered the surprise cut in March. Volumes at 470k down 44% MoM, but still up 83% vs April 2023. ADV was 22.4k with OI at 248k up 5% MoM.
U.S. Rates - Rate Lock
Another good month for ICE’s US Mortgage Rate Lock Index futures with volumes at 21.9k up 305% YTD vs 2023. OI remains steady at 861 lots.
Insights
The Euribor benchmark: deep liquidity amid a shifting rate backdrop
When macro-economic events shake global markets, investors need a quick and reliable way to hedge risk. Learn why Euribor endures as an interest rate benchmark.
Managing interest rate risk with inter-contract spreads
As Europe grapples with an uncertain backdrop for growth and inflation, interest rate risk is a source of volatility which many market participants must manage. In this environment, access to reliable liquidity and sophisticated hedging tools offers execution certainty, margin offsets, and the ability to apply inter-contract spread strategies.