€STR Futures Our €STR Dashboard summarises key liquidity attributes in this growing market: Showing; Open Interest CCPView provides all the data we need on Open Interest for €STR futures: EURIBOR EURIBOR continues to dominate EUR STIR future volumes: Showing; CME €STR Watch The CME have added €STR to their monetary policy tracking tools, which is […]

This week marks the 10th Anniversary of my first ever blog. That also means it is a long time since I last traded an interest rate swap. To mark the occasion, I have documented the trading strategy that I used all those years ago. Enjoy! Three Rules This strategy follows three rules: What is Positive […]

With LIBOR now a distant memory, is options activity in USD rates markets back to pre-cessation levels? Let’s tour the data…. Futures – Exchange Traded Options on SOFR contracts Options on Exchange Traded Derivatives are the “standardised” version of non-linear liquidity, with standardised expiries (quarterly, monthly and even weekly for certain underlyings) and strikes in […]

It feels almost disingeneous to say I “wrote” this blog – and this time I don’t even have to resort to AI co-pilots to say that! The data really writes the story itself – there is little need for accompanying commentary this week: €STR Futures Our €STR Dashboard summarises key liquidity attributes in this growing […]

Potential restrictions on Contract for Differences (CFD) markets are leading retail brokers to evaluate a shift towards institutional markets and listed futures and options. Bruce Roberts and Chris Brown cover the details on the ION Markets Blog.

Very occasionally, the data writes a blog for me. This is one of those times, with three particular highlights: €STR Futures I have slightly tweaked our €STR Dashboard, which summarises key liquidity attributes in this growing market: Showing; The really large volume days at Eurex have not materially added to the Open Interest yet, where-as […]

We turn our data lens back to Europe for this blog to look at how the market shares of CME, Eurex and ICE are evolving across EUR futures. Last time out, I noted that Eurex had kick-started their EURIBOR volumes. Let’s look at the data since then. Market Share in EURIBOR Futures CCPView reveals a […]

In June this year I wrote that “We Need to Talk About €STR Futures“. RFR/€STR Adoption continues to be volatile in Europe, but €STR Futures have had a pretty good year so far, with monthly volumes increasing steadily: Showing; However, ESTR futures have only managed to grab a tiny percentage of the overall EUR STIR […]

Do Androids Dream of Electric Sheep? Amir and I have been discussing on our podcast a new use of the Clarus blog – training AI models. Clarus content is a good candidate for training large language models – the blogs are structured, and they cover technical topics in an accessible manner. There are now well […]

A few weeks ago, I highlighted that the EUR swaps market is now larger in size than the USD swaps market (within a broader blog post on the BRL swaps market): LIBOR cessation is likely the main reason for this change in the relative size of EUR markets. EUR markets trade FRAs and Basis swaps […]