October 2020 Highlights
The news headlines in October were largely dominated by two topics - the second wave of COVID-19 and the renewed national restrictions imposed to contain the pandemic, and the US elections. With the deadline for Brexit looming, the lack of resolution in the negotiations contributed further to the uncertainty that continues to grip markets. As we enter a fourth quarter characterised by unpredictable events and an unclear economic outlook, Fixed Income markets seem to have gone into wait-and-see mode.
As a result, STIR volumes trended lower in October with Short Sterling futures Average Daily Volume (ADV) coming in at 493,000 and Euribor futures ADV of 586,500. As milestones on the regulatory benchmark reform timeline are reached, there is increased focus on SONIA futures which continued their strong performance. Approximately 13% of Sterling-denominated STIR futures volume at our venue was in the SONIA complex, adjusted for notional. Three Month SONIA futures finished the month at record Open Interest (OI) of £91.5 billion notional equivalent. October was also a record month for Inter-Contract Spreads (ICS) with over 105,000 Three Month SONIA sides trading as part of this strategy against twice as many sides in Short Sterling futures.
The launch date for SONIA options has been confirmed as Monday, 7 December 2020 (subject to satisfactory completion of the relevant regulatory processes). Learn more: Circular | Contract Rules.
We also welcome feedback on the proposal regarding the treatment of open contracts in LIBOR based futures upon the transition away from LIBOR. For more information, please refer to the recent circular issued on the matter or contact the ICE Interest Rates team.
Fixed Income finished the month with ADV of 1.6 million contracts and OI of 25.7 million contracts.