ICE Interest
Rates Report

July 2021 Highlights

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.
  • Long Gilt futures are the highly liquid market benchmark for the intermediate term U.K. government bond yield curve.
  • ADV in July was 241,000 contracts.
  • OI at the end of July stood at 718,600 contracts, which marks an increase of 37% on the same period last year. This is the highest month-end OI in over 18 months.
  • 33% of Sterling STIR futures activity was in Three Month SONIA Index futures over the month.
  • OI in the complex set a new OI record on an almost daily basis. SONIA futures OI now represents 16% of 3M Sterling futures OI.
  • Market participants are actively making use of the asset allocation facility and inter-contract spreads, allowing for the execution of SONIA and LIBOR basis trades as a single transaction.
  • Cumulative volume in SONIA Options is approximately 260,000 contracts. Mid-curve options are now trading.
  • Access the SONIA Options and mid-curves product specifications for more information.
  • LIBOR Transition Questions & Answers Document is available here.
  • ICE was home to 31% of all SOFR futures activity adjusted for notional.
  • Inter-Contract Spreads for 3 Month SOFR and Eurodollar futures are available in the Central Limit Order Book.
  • SOFR futures minimum price fluctuation is 0.0025 or $25 throughout the strips.
  • The contracts trade alongside the full suite of ICE's Fixed Income and RFR futures and options and offer a margin efficient way to manage exposure in the short-term end of the USD curve.

***All STIR Futures are now Rate Index futures. Notional values in this document are for illustrative purposes only. They use the historical interpretation of notional, the unit of trading represented based on a notional deposit
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