May 2024
ICE Interest Rates Report
Gain the latest trends and insights with our monthly newsletter on ICE's Rates market.
Interest Rate Derivatives
The largest marketplace for U.K. and European interest rates futures and options including Euribor, SONIA, Gilts and SARON futures
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Euribor Futures and Options
SONIA Futures and Options
SARON Futures
Long Gilt Futures
ESTR Futures and Options
Interest rates contract performance
| Product Code | Ticker | May 24 ADV | YTD ADV | Open Interest | |
|---|---|---|---|---|---|
| Euro Rates | |||||
| Euribor Futures | I | ER | 1,211,631 | 1,357,110 | 4,477,625 |
| Euribor Options | I,K,K2,K3,K4,K5 | ER | 266,685 | 354,450 | 12,760,378 |
| 3M ESTR Futures | ER3 | TKY | 54,801 | 46,858 | 216,801 |
| UK Rates | |||||
| SONIA Futures | SO3 | SFI | 598,643 | 564,553 | 2,286,772 |
| SONIA Options | SO3,SY1,SY2,SY3,SY4 | SFI | 144,428 | 143,166 | 5,256,550 |
| Long Gilt Futures | R | G | 364,079 | 286,581 | 679,537 |
| Long Gilt Options | R | G | 1,116 | 890 | 3,490 |
| Swiss Rates | |||||
| SARON Futures | SA3 | SSY | 29,190 | 30,821 | 278,851 |
| US Rates | |||||
| Rate Lock | 3OC | VAI | 1,128 | 1,080 | 1,064 |
* Launched ESTR: Nov. 1, Gilt Options: Aug. 1.
Product news
- 3M €STR options now available for trading
Product highlights
Euro Rates - Euribor and €STR
- Euribor futures traded 27.8 million contracts, up 9% YTD vs 2023
- Euribor futures average daily volume (ADV) at 1.2 million contracts, up 23% vs May 2023
- Euribor futures open interest (OI) of 4.47 million contracts, up 5% MoM and up 19% YTD vs 2023
- Euribor options traded 6.13 million contracts, up 5% MoM, and up 33% YTD vs 2023
- Euribor options ADV at 266.6k, down 5% MoM, up 32% YTD vs 2023
- Euribor options OI of 12.76 million contracts, up 9% MoM
- Combined futures and options OI of 17.2 million contracts up 8% MoM, and up 12% vs May 2023
- 3M €STR futures traded 1.26 million contracts
- 3M €STR futures ADV at 54.8k contracts
- 3M €STR futures OI hit another record high of 216.8k, up 140% MoM
U.K. Rates - SONIA and Gilts
- SONIA futures record volume day: 1,365,638 (22/05/24) vs 1,294,198 (21/03/24)
- SONIA futures traded 12.57 million contracts down 6% MoM, up 46% YTD vs 2023
- SONIA futures ADV at 598.6k, up 64% vs May 2023
- SONIA futures & options traded a combined 15.6 million contracts up 64% YTD vs 2023
- SONIA options volumes traded 3 million contracts, unchanged MoM, up 220% YTD vs 2023
- SONIA options ADV at 144.4k, up 169% vs May 2023
- Long Gilt futures traded 7.6 million contracts up 32% MoM, an increase of 21% vs May 2023
- Long Gilt futures ADV was 364k, up 25% YTD vs 2023
- Long Gilt futures OI of 679.5k, up 7% MoM, up 44% YTD vs 2023
- Long Gilt options continued to gain momentum with volume at 23.4k. YTD volume now running at 93.7k
Swiss Rates - SARON
- SARON futures traded 671.3k, up 43% MoM, up 53% YTD vs 2023
- SARON futures ADV at 29.1k, up 30% MoM
- SARON futures OI of 278.5k up 12% MoM
U.S. Rates - Mortgage Rate Lock Index Futures
- Mortgage Rate Lock index futures volumes at 25.9k up 18% MoM, up 252% YTD vs 2023
- Mortgage Rate Lock index futures OI of 1064 lots, up 24% MoM, up 182% YTD vs 2023
Learn more about ICE Interest Rate Derivatives
Insights
The Euribor benchmark: deep liquidity amid a shifting rate backdrop
When macro-economic events shake global markets, investors need a quick and reliable way to hedge risk. Learn why Euribor endures as an interest rate benchmark.
Managing interest rate risk with inter-contract spreads
As Europe grapples with an uncertain backdrop for growth and inflation, interest rate risk is a source of volatility which many market participants must manage. In this environment, access to reliable liquidity and sophisticated hedging tools offers execution certainty, margin offsets, and the ability to apply inter-contract spread strategies.