As we are entering the summer months, activity across all Fixed Income futures and options remains robust. The complex finished the month with an average daily volume (ADV) of 2 million contracts, +60% year-over-year (YoY), and open interest (OI) of 28.3 million contracts, 26% YoY.
As we are edging closer to December 31, the date when GBP and CHF LIBOR rates will no longer be representative, we are continuing to see growth in activity across risk free reference rates (RFRs). SONIA futures and options posted strong performance over the period. ADV in Three Month SONIA futures reached 158,000 in July, with 33% of market GBP risk exchanged in SONIA. Options enjoyed their best month to date, with 2 year and 3 year mid-curves trading for the first time. OI in the SONIA complex posted a sharp increase, setting records on an almost daily basis and finished the month at 640,500 futures and options, close to double what it was at the end of June.
July saw more trading in Three Month SARON ® Index futures, the RFR benchmark for the Swiss Franc (CHF). The contracts are available in the Central Limit Order Book (CLOB). All functionality available in Euroswiss futures has been mirrored. Inter Contract Spreads (ICS) between the two contracts were made available as part of the recent relaunch of SARON futures. Access the Contract Specs for more information.