- Open Interest of €STR futures has continued to increase:
- Open Interest is now over €1.2Trn, up from ~€700bn at the time of our previous blog.
- ICE wrestled top spot from Eurex in terms of volumes traded in October, but Eurex were back on top in November.
- Eurex had a 52% market share by volume in November 2024, whilst 67% of Open Interest sits with ICE.
€STR Futures
Our €STR Dashboard summarises key liquidity attributes in this growing market:
Showing;
- September 2024 set a new volume record (continuing from the records in the previous blog).
- Whilst October broke the run of consecutive monthly records, September was a roll month so I think the positive momentum in the market is still there.
- November 2024 saw the largest volumes outside of a roll month so far, surpassing 5 million contracts / €5Trn notional equivalent.
- Remember we only passed 1m contracts for the first time 12 months ago (which coincided with the ICE launch).
- €STR accounted for 11% of all EUR STIR trading in November, slightly down from the previous blog (which were record highs). Maybe the proportion of the market trading versus €STR is sensitive to the relative amount of activity at the short-end of the curve versus the long-end.
- Eurex saw more than 3m contracts traded for the first time in September.
- ICE took top spot from Eurex for the first time in terms of contracts traded in October. ICE had volumes of 2.4m contracts, 439k more than Eurex at 1.97m.
- Eurex came back strongly in November however, reclaiming top spot by a similar margin.
- CME has seen steady volumes, although Open Interest remains below the levels reached before the September roll.
- For market share in November 2024, Eurex saw 52%, ICE 42% and CME the remaining 5% of volumes – ICE have made in-roads into the Eurex market share since the previous blog.
- EURIBOR volumes were over 40m contracts in October 2024, for the first time since I have been looking at the data. Combining the €STR volumes with EURIBOR means that ICE still enjoy an 88% market share for all EUR-denominated STIR activity.
Open Interest
CCPView provides all the data we need on Open Interest for €STR futures:
- New records everywhere on this chart!
- Combined Open Interest is now over 1.2m contracts / €1.2Trn notional equivalent. That sounds like a proper sized market to me!
- ICE have seen much of this growth, adding 80% more Open Interest since our last blog, to over 800,000 contracts.
- 67% of the Open Interest is at ICE, 27% at Eurex and 6% at CME.
EURIBOR
No change that I can see in EURIBOR trading. It continues to dominate EUR STIR future volumes:
Well, I say that I see no change, but October and November were record volumes this year. Impressive given we know that Rates volumes generally have been elevated:
- The Eurex market share remains variable month on month, between 3-6%.
- What can we say about the August volumes in retrospect other than Europeans love a good holiday? Volumes have recovered strongly ever since, with over 40m contracts traded in both October and November.
- Whilst €STR volumes seem to have been impacted by the September roll, there is no such sign in EURIBOR.
€STR Options
I was surprised to see that CCPView hasn’t recorded any subsequent volumes in €STR options since that first trade on August 20th:
We’ll stay vigilant looking out for more volumes!
Swaps
Is there anything to see in Swaps yet? Ahead of Active Accounts actually being implemented, we still see activity at three CCPs for €STR:
LCH SwapClear has a 98% market share in €STR. Swap volumes have remained high since the low point in August that we commented on in the last blog.
In Summary
- In the on-going three way battle for dominance in €STR futures, the Clarus API summarises the most relevant volume metrics in our €STR Liquidity Dashboard.
- Open Interest in €STR futures has grown substantially and is now over €1.2Trn.
- €STR volumes now account for 11% of all EUR STIR trading activity.
- The first €STR options traded at ICE in August but we haven’t seen any activity since.