September 2020 Highlights
In September, markets were dominated by a surge in coronavirus cases around the world and renewed efforts by governments to contain the pandemic and its economic impact. Economic data were mixed with markets generally shifting lower over the month.
In the UK, the lack of progress in the Brexit negotiations alongside the pandemic have heavily influenced Bank of England (BoE) policy expectations. The resultant heightened volatility has been supportive of the Short Sterling franchise, which saw Average Daily Volumes (ADV) of over 1.1 million contracts across futures and options. SONIA futures also gained, with Open Interest (OI) at record levels and liquidity developing further out the curve, mostly in the Greens and Blues but currently there is OI all the way out to Jun26.
Fixed Income finished the month with Average Daily Volume (ADV) of 2.1 million contracts and OI of 24.1 million contracts.