October 2022 Highlights
ICE Interest Rates Report
Central bank action continues to drive the dynamics of short-term interest rates. In October, the ECB hiked 75bps, a scale of rate movement that has become the recent standard in Europe, the U.S., and the U.K.. As benchmark rates have reached higher levels, more consideration is being made between balancing inflation and the view that recessions are looming in many Western economies.
Euribor futures and option open interest (OI) sits around the 20 million lot level, +65% higher than what it was at this time last year.
In the U.K., Rishi Sunak was appointed Prime Minister on Oct. 25 and has chosen Jeremy Hunt as the Chancellor of the Exchequer. The volatility in the Gilt market witnessed following September’s mini-budget has diminished and the market appears to view the U.K. economy as being in safer hands. That said, yields remain elevated as the headwinds of inflation, a weak currency and a cost-of-living crisis persist.
Fixed income YTD has traded 451 million contracts, +21% YoY (notional adjusted). OI in the option complex was 17 million contracts, +4% YoY (notional adjusted).
Historic Milestone in November
The Long Gilt futures contract celebrates its 40th anniversary on Nov. 18. ICE’s Long Gilt futures contract has become the benchmark for the U.K. government bond yield curve and is increasingly important to traders for managing portfolio risk, especially against the backdrop of recent political and economic uncertainty.
- The 3 Month SONIA futures average daily volume (ADV) was 305,000 contracts, +66% YoY
- SONIA futures and options finished the month with combined OI of 3.39 million contracts
- The block threshold change introduced at the end of September contributed to the most active SONIA block market of the year with 335K lots of SONIA futures traded through blocks in October
- October ADV in Euribor was 1.38 million contracts. YTD Options volume is up +276%
- OI in the Euribor complex remains robust, finishing the month at 19.5 million futures and options. Option OI is up +94% YoY
- October ADV in SARON futures was 9,200 contracts
- SARON futures finished October with a month-end record OI of 189,462
Volumes
***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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