Interest Rates Report
December Highlights
  • A record 600 million fixed income contracts traded in 2018
  • ADV at 2.33 million contracts, +14% on the previous record set in 2017
  • Sterling denominated futures posted a strong year, with annual volumes at an all-time-high of 217 million in Short Sterling and 65 million in Long Gilt futures contracts
  • STIR options 318,000 ADV over the year and + 16% yoy. Gamma trading facilitated an increase in volatility, contributing to its strong performance
  • STIR options OI reached 20 million in December, the highest level in over 8 years
  • ICE established as the leading venue for alternative rates with the equivalent of $2+ trillion notional executed across SONIA and SOFR futures
SONIA
  • £1.1 trillion notional in volume since launch
  • OI reached a record £67.96 billion across the 1M and 3M contracts in December, 75% of the total SONIA futures market
SOFR
  • $853 billion in volume since launch
  • 42% of all SOFR futures volume in notional terms executed on ICE since October 22
  • Support continues to grow, with new market participants enhancing market quality of notionally valued depth and width
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Volumes
 
Futures
  Q4 2018 ADV Q4 2017 ADV
Change
OI 2018 OI 2017
Change
Euribor            881,553            607,976 45%        4,964,530     4,243,101 17%
Short Sterling            964,571            745,331 29%            283,950         245,013 16%
Euroswiss               24,973               18,882 32%        3,974,313     3,157,872 26%
Long Gilt            276,054            193,695 43%            767,457         752,130 2%
 
Options
  Q4 2018 ADV Q4 2017 ADV Change OI 2018 OI 2017 Change
Euribor            130,065               66,610 95%        7,124,251     5,096,699 40%
Short Sterling            205,119            150,852 36%        7,245,273     5,681,482 28%
Long Gilts*                  1,037                       344 201%                  8,050            14,876 -46%
*Gilt options relaunch was in December 2017
 
Annual Fixed Income Volumes
SONIA Futures
SOFR Futures
STIR Futures
STIR Options
Long Gilt Futures
 

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