Overall Eurodollar futures OI ended 2020 down 16.5% vs 2019. In absolute terms, however, OI growth in Greens, Blues and beyond was overwhelmed by the decline in Whites and Reds. For example, open interest grew over 80% in the Golds. With the market anticipating that Covid-19 related, extraordinary monetary policy measures will remain in place until the US recovers from the pandemic’s economic impact, participants’ attention turned to the deferred contracts in H2. The July futures tally of 22.9 million contracts was the lowest monthly total since December 2004.
Adding in SOFR and Fed Fund Futures, the CME STIR products gave up 203 million contracts in Q3 2020 vs Q3 2019. The decline in Eurodollar, Eurodollar Mid-Curve and Eurodollar Weekly options amounted to a further 76 million contracts in aggregate. Eurodollar futures fell 56% vs 2019, a loss of over 100 million contracts in absolute terms. The sheer speed of the slowdown once the Fed Target Rate had reached its floor was extraordinary. Whilst this is at the extreme of historical annual declines, it is not unprecedented as 20 saw similar volume falls. However, as the Fed hit its terminal rate for the year, activity declined sharply resulting in an overall 25.8% drop vs. Thanks to huge volumes in the three months to April, the Eurodollar once again took the crown as the world’s largest futures contract (measured in USD notional). Libor-based STIRs: The beginning of the end The e-mini S&P500, e-mini Nasdaq, e-mini Russell 2000 and CBT mini Dow Jones in aggregate added more than 162 million contracts to their 2019 tally – growth of 27.1%.ġ Traded Notional for non-USD contracts is estimated using the average relevant FX rate for the year US equity index futures growth was not limited to the micros. In USD notional terms, and despite its retail orientation, the micro contract traded more than 15% of the size of the more established e-mini in Q4. In 2020, a little over two years after their extremely prescient launch, the CME micro e-mini Nasdaq future (~178 million contracts for the year) is trading more contracts than the long established and already hugely successful e-mini Nasdaq future (~146 million contracts). Global top 50 futures contracts by traded notional in USD equivalent 1 Sources: Bloomberg, COEX PartnersĪ perfect illustration of the sheer scale with which smaller investors impacted market volumes was the growth in CME micro equity index futures. Global listed derivatives year-on-year volume growth. Q3 also saw the mighty Eurodollar future briefly dethroned by CME’s e-mini S&P500 as the world largest futures contract. H2 volumes cratered to levels not seen since 1996 when the 90d Bills were still trading in open outcry pits.
Australia’s ASX24 90 day bill futures took a devastating hit once the RBA cut its Cash Rate Target to 0.1%. By August, short term rates markets were experiencing breathtaking year-on-year volume declines. It was a year of two distinct halves for interest rate markets, however. The Treasury futures complex hit a record 160 million contracts in February as Covid-19 emerged in the US, triggering the initial equity market rout and huge flight-to-quality flows. US short term rates markets spiked record volumes in March, with the CME Eurodollar future breaking 100 million contracts in a single month for the first time in its history. From ‘micro’ index futures to ETF options and across regions, volumes saw extraordinary gains. The widely reported spike in retail account activity brought substantial volume uplift across equity markets.
Sources: Bloomberg, COEX PartnersGlobal exchange traded derivative volumes tracked by COEX Partners in 2020 amounted to ~32.3 billion contracts – representing growth of 20.5% vs 2019.
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