Continuing the work on Swaptions, I delve into the options market activity in Q4. The quarter was characterised by trading activity related to the US election, and from a data perspective we cannot avoid giving a notable hat tip to the change in block sizes. Q4 2024 saw the following daily moves in ten year SOFR […]

€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 No change that I can see in EURIBOR trading. It continues to dominate EUR STIR future volumes: January volumes in EURIBOR were close to the October […]

With a huge Thank You to Eurex, I have to admit that I messed up on a recent blog post. It happens – we work to tight deadlines and cover complex topics. Still, I hold myself to a high standard and it really hurts when mistakes creep in. What Did I Get Wrong? On the […]

2024 volumes and market share for OTC Derivatives in Interest Rates reported by Clearing Houses. Clarus CCPView has daily volume and open interest data published by each CCP, which is filtered, normalised and aggregated to allow meaningful comparisons. Contents: Onto the charts, data, and details. Volumes and Market Share For major currencies and regions, vanilla swaps referencing IBORs and OIS […]