€STR Wars: Attack of the Clones Part 2
Dr Elliot Banks, Chief Product Officer, BMLL
On 17 January, our article ‘€STR Wars: Attack of the Clones’ analysed the recent rise of the futures linked to the Euro short-term rate (€STR) contract, and the importance of understanding this liquidity in order to minimise the cost of trade, find liquidity and to hedge efficiently.
As €STR continues to grow and gain market share, understanding the liquidity profile of competing €STR futures on ICE, CME and Eurex will be critical for market participants to trade better.
This month, we've extended the analysis to see how €STR futures trading volume has evolved in Q1. Some interesting trends can be seen:
Eurex still has the highest market share in volume terms
ICE has moved to have the largest Open Interest
€STR volumes are establishing themselves as significant,with consistent market share above 10% vs. Euribor. However, Euribor is still the dominant future for the time being
Looking at the Euribor-€STR comparison, we can see this is still early days, and this race has a long way to run. Using BMLL's highest quality historical market data, it's easy to compare these three contracts, and understand the best way to trade. This includes our level 3 analytics such as order activity, and breaking down how the full complex trades on ICE.
To get a full picture of the €STR market quality, additional market share metrics have been included, over the time period from November 2023 - March 2024.
€STR Traded Volumes
€STR market share
Open Interest
Whilst both CME and ICE had increasing Open Interest during the quarter, CME had a large reduction following the quarterly roll, putting it back to January levels. ICE's open interest has continued to rise and is now the largest of the three venues.
€STR vs Euribor comparison
Bid-Offer Spread
Order Activity
ICE €STR Product Daily Volume breakdown
