Markets were off to a volatile start in 2020. Heading into the most recent Monetary Policy Committee (MPC) meeting in January, financial markets were pricing in a 50% chance of a rate cut. The uncertain outcome provided strong tail winds for the Short Sterling franchise, pushing Open Interest (OI) in futures to an all-time-record of 4,605,392. The backdrop proved supportive of options as well which posted Average Daily Volume (ADV) of 476,000.
ICE SONIA Futures continued to perform strongly: the One Month contract saw record activity in January, with investors using the product to manage rates risk. The equivalent of £42 billion notional traded on 30 January, making it the highest volume day in the contract’s history.
Participation in Packs and Bundles (P&B) is growing, 32% of Three Month SONIA lots traded as part of these strategies over the month. P&B are a strategic piece of the benchmark reform offering available at ICE and they are part of the many tools and trading strategies created to support market adoption of the new rates.
Fixed Income finished the month with OI of 29.2 million contracts, +18% YOY.