September, 2019

ICE Interest Rates Report


The geopolitical backdrop is providing strong tailwinds for the Rates franchise. In the third quarter, Average Daily Volume (“ADV”) is tracking +13% YOY, whilst Open Interest (“OI”) is up 25% YOY.
Short Sterling Futures and Options
  • Brexit uncertainty continues to influence the short end of the Sterling curve with record trading in the complex
  • Futures have been at record OI for most of the year, seasonally adjusted
  • Growth continued in September and OI reached an all-time high of 4.6 million contracts on 5 September
  • Demand for protection from interest rate changes continues to drive strong volumes in options
  • September produced the highest options ADV on record, exceeding 500,000 for the first time
  • Options OI set numerous records during the month, peaking at 14 million on 17 September

  • ICE’s flagship Long Gilt futures contract is the benchmark for the intermediate term of the UK government bond yield curve
  • Options on Long Gilt Futures were relaunched in December 2017, with 270,000 contracts trading since
  • 70+ unique entities have participated in the market since the relaunch
  • 30% of volume executed on screen over the last 3 months, with Market Makers providing support for block trading as well as streaming firm bid and offer prices
  • Extend the risk-management tools available to investors, with more trading opportunities and flexibility

  • £4.3 trillion cumulative volume since launch
  • New users are trading with ICE, home to 75% of SONIA futures market OI
  • 1M posted record OI of £69.8 billion on 26 September, while 3M OI reached £46.1 on 13 September
  • SONIA futures offer liquidity to April 2020 in 1M and Jun 2022 in 3M
  • Activity in inter-contract spreads grew further, accounting for 10% of 3M volume

  • $5.8 trillion cumulative notional since launch
  • September ADV reached $28.0 billion
  • 42% of 3M SOFR futures volume in notional terms executed at ICE during the month, the equivalent of $265 billion notional
  • SOFR futures offer liquidity to April 2020 in 1M and Dec 2021 in 3M
ICE is at the forefront of listed alternative reference rates (“RFRs”), offering the broadest multi-currency product suite. The contracts provide liquid and transparent markets to trade and hedge RFRs alongside Euribor, Short Sterling, Gilts and other interest rate benchmarks.

***All STIR Futures are now Rate Index futures. Values in this document use the historical interpretation of notional, with the unit of trading calculated based on a notional deposit

Key Information Documents for certain products covered by the EU Packaged Retail and Insurance-based Investment Products Regulation can be accessed on the relevant exchange website under the heading “Key Information Documents (KIDS)”.

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