IR Futures Volume – Nov 2021

I last looked in detail at IR Futures volume in February 2021, so in this blog I will update the Average Daily Volume (ADV) and Open Interest (OI) of the major IR futures: Money Market and Bond Futures AUD, BRL, CAD, CHF, EUR, GBP, JPY and USD Relative size by ADV and OI on a […]

IR Futures – ADVs and OI in major currencies

We look at recent Average Daily Volume (ADV) and Open Interest (OI) of the major IR futures: Money Market and Bond Futures AUD, BRL, CAD, CHF, EUR, GBP, JPY and USD Relative size by ADV and OI on a comparable dollar notional basis Trends and market share in SOFR, SONIA and GBP Libor MM Futures […]

CME S&P 500 Futures Margins in March 2020

In a recent blog, procylical margins in the time of covid-19, I reproduced a chart from a BIS Bulletin showing that IM requirements for US Equity Index Futures doubled during March, the peak of the covid-19 market crisis. Today I will take a detailed look into these margin changes, concentrating on the S&P 500 index. […]