Activity across all Fixed Income futures and options was robust in June. The complex finished the month with an Average Daily Volume (ADV) of 2.1 million contracts, +34% YoY, and Open Interest (OI) of 27.9 million contracts, 32% YoY.
In the UK, the benchmark reform project is now entering the final stages of transition away from LIBOR. From 17 June, the FCA and the Bank of England encourage participants to use SONIA for GBP exchange traded derivatives, marking another key milestone on the transition roadmap.
Against this backdrop, SONIA futures and options posted record performance over the period. ADV in Three Month SONIA futures reached 184,000 in June, with 37% of market GBP risk exchanged in SONIA, adjusted for notional. Volume in SONIA options was a total of 64,000 contracts attracting a diverse and growing participant mix. SONIA mid-curves are now trading, accounting for 2.4% of volume. OI in the SONIA complex also continued to grow, setting records on almost a daily basis. It finished the month at a total of 338,000 futures and options.
June saw the first trades in Three Month SARON ® Index futures, the RFR benchmark for 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. Contract Specs