Brexit uncertainty and changes in expectation of Fed policy continue to influence the short end of the Sterling curve. In the last quarter, expectations of Bank of England action by year end have evolved from a 30% chance of a hike to 20% chance of a cut.
Short Sterling futures and options continue to drive gains, with OI in the complex rising 48% YOY to reach 13.7 million contracts. Short Sterling futures have been at a record OI for most of the year, seasonality adjusted, and finished May at over 4 million contracts. Options OI marked a 10 year high at 9.6 million contracts.
Fixed Income finished May with Open Interest (OI) of 27.6 million contracts, an increase of 7% YOY.