Short Term Interest Rate (STIR) Options. Volume & Open Interest

Transcription

1 Short Term Interest Rate (STIR) Options Volume & Open Interest

2 Euribor and Short Sterling Options 25,000,000 STIR Options Monthly Volume 20,000,000,000,000 10,000,000 5,000,000 0 Jan12 Apr12 Jul12 Oct12 Jan13 Apr13 Jul13 Oct13 Jan14 Apr14 Jul14 Oct14 Euribor Options Sterling Options 20,000,000 STIR Options Daily Open Interest (OI) from ,000,000 10,000,000 5,000,000 0 Euribor Options OI Sterling Options OI 2

3 Trading STIR Options Futures style margining no premium paid up front Strikes 12.5 in Euribor and Short Sterling Highly liquid strategy market over 80% of block volume involves complex packages Active ket Makers ket Makers across Euribor and Sterling options Option Expiry Month Apr May Jul Aug Option 3

4 Options Front 4 quarterly months and front 4 serial months listed for option expiry Upon expiry, deliver into a future further down the curve Low premium due to short option tenor but still facilitates access to longer dated futures Available for Euribor and Short Sterling Expiry Month Apr May Jul Aug One Year Two Year Three Year Four Year Five Year

5 STIR Options Statistics YTD Q ADV vs 2013 Open Interest vs 2013 Short Sterling (all) 174,219 94% 3,702,870 56% Short Sterling 83,409 1% 2,818,279 98% Short Sterling Mid Curve 59, % 628,283 73% Short Sterling 2 Year Mid Curve 29,462 7% 245,133-53% Short Sterling 3 Year Mid Curve 2,119 13% 11,175-83% Short Sterling 4 Year Mid Curve ADV vs 2013 Open Interest vs 2013 Euribor (all) 4,765-67% 2,688,954-69% Euribor 79,904-60% 2,191,402-65% Euribor Mid Curve 33,461-71% 234,426-83% Euribor 2 Year Mid Curve 28,373-70% 3,098-80% Euribor 3 Year Mid Curve 12,927-75% 99,028-60% Euribor 4 Year Mid Curve % 1,000 N/A 5

6 STIR Options by Product 7,000,000 Short Sterling Options Monthly Volume 6,000,000 5,000,000 4,000,000 3,000,000 2,000,000 1,000,000 0 Jan12 Apr12 Jul12 Oct12 Jan13 Apr13 Jul13 Oct13 Jan14 Apr14 Jul14 Oct14 Vanilla 1-Year Midcurve 2-Year Midcurve 3-Year Midcurve 4-Year Midcurve Euribor Options Monthly Volume 20,000,000 18,000,000,000,000 14,000,000 12,000,000 10,000,000 8,000,000 6,000,000 4,000,000 2,000,000 0 Jan12 Apr12 Jul12 Oct12 Jan13 Apr13 Jul13 Oct13 Jan14 Apr14 Jul14 Oct14 Vanilla 1-Year Midcurve 2-Year Midcurve 3-Year Midcurve 4-Year Midcurve 6

7 Options Display Page Real-time webpage showing traded prices in STIR options Select STIR using drop down menu Click on identifier to see strategy breakdown 7

8 Trade Method Breakdown for STIR Options Euribor Short Sterling Screen 8% Screen 9% Guaranteed Cross 27% Guaranteed Cross 36% Block 65% Block 55% 8

9 DISCLAIMER 20 Intercontinental Exchange, Inc. The information and materials contained in this document - including text, graphics, links or other items - are provided "as is" and "as available." ICE and its subsidiaries do not warrant the accuracy, adequacy or completeness of this information and materials and expressly disclaims liability for errors or omissions in this information and materials. This document is provided for information purposes only and in no way constitutes investment advice or a solicitation to purchase investments or market data or otherwise engage in any investment activity. No warranty of any kind, implied, express or statutory, is given in conjunction with the information and materials. The information in this document is liable to change and ICE undertakes no duty to update such information. You should not rely on any information contained in this document without first checking that it is correct and up to date. The content of this document is proprietary to ICE in every respect and is protected by copyright. No part of this material may be copied, photocopied or duplicated in any form by any means or redistributed without the prior written consent of ICE. All third party trademarks are owned by their respective owners and are used with permission. Trademarks of ICE and/or its affiliates include Intercontinental Exchange, ICE, ICE block design, NYSE and New York Stock Exchange. Information regarding additional trademarks and intellectual property rights of Intercontinental Exchange, Inc. and/or its affiliates is located at Safe Harbor Statement under the Private Securities Litigation Reform Act of Statements in this press release regarding ICE's business that are not historical facts are "forward-looking statements" that involve risks and uncertainties. For a discussion of additional risks and uncertainties, which could cause actual results to differ from those contained in the forward-looking statements, see ICE's Securities and Exchange Commission (SEC) filings, including, but not limited to, the risk factors in Intercontinental Exchange, Inc. s Annual Report on Form 10-K for the year ended ember 31, 2014, as filed with the SEC on February 5, 20. 9