During the first three months of trading Swapnote® has achieved an average daily volume across the 2-year, 5-year and 10-year contracts of 27,000 with a daily value of €2.7 billion. Following its first expiry on 18 June, open interest currently stands at 98,900 contracts (with a value of €9.89 billion). The options contract will further enhance the development of the underlying futures and will create additional trading and arbitrage opportunities for a wide variety of market participants.
John Foyle, LIFFE's Deputy Chief Executive said, "Swapnote® has traded well over a million contracts since its launch and has done much to create new opportunities for participants in the interest rate swap market. The introduction of options will continue this process, introducing what will be a new type of options to the wider market."
