LIFFE Trades Record Value And Volume In April 2001

The London International Financial Futures and Options Exchange (LIFFE) traded a record average daily nominal value of £414 billion (?667 billion) in April 2001 representing a monthly total underlying value of £7,866 billion (?12,664 billion), up 93% year on year.

The Exchange had its busiest April ever trading 16,404,312 futures and options contracts, an 85% increase on the same month last year. Average daily volume for the month of April amounted to 863,385 contracts.

John Foyle, LIFFE’s Deputy Chief Executive, said “Short term interest rate products and long term bonds both saw an increase of over 90% year on year. Equity products rose 53% year on year with individual equity options increasing by 97%.

LIFFE’s suite of Swapnote® contracts, launched on 20 March, saw a sharp increase in volume with new records in both volume and open interest reflecting a widening user-base.”

The following records were set in April 2001:

Daily volume:

Three Month Euribor Future set a daily volume record of 887,180 on 11 April 2001 (previous daily record of 737,704 set on 8 June 2000)
Three Month Euribor Option set a daily volume record of 174,979 on 24 April 2001 (previous daily record of 146,235 set on 30 March 2001)
Two Year Swapnote® set a daily volume record of 6,081 on 18 April 2001 (previous daily record of 2,764 set on 29 March 2001)
Five Year Swapnote® set a daily volume record of 8,452 on 19 April 2001 (previous daily record of 6,266 set on 3 April 2001)
Ten Year Swapnote® set a daily volume record of 10,811 on 23 April 2001 (previous daily record of 8,488 set on 19 April 2001)
LIFFE’s Universal Stock Futures set a daily volume record of 33,960 on 11 April 2001 (previous daily record of 11,393 set on 15 March 2001)

Open Interest:

Robusta Coffee Future set an open interest record of 89,108 contracts on 27 April 2001 (previous record of 84,725 set on 24 April 2001)
Individual Equity Options set an open interest record of 1,503,516 contracts on 18 April 2001 (previous record of 1,482,934 set on 17 April 2001)
Two Year Swapnote® set an open interest record of 9,487 contracts on 24 April 2001 (previous record of 8,706 set on 20 April 2001)
Five Year Swapnote® set an open interest record of 25,956 contracts on 24 April 2001 (previous record of 23,161 set on 23 April 2001)
Ten Year Swapnote® set an open interest record of 24,898 contracts on 24 April 2001 (previous record of 20,434 set on 23 April 2001)
LIFFE’s Universal Stock Futures set an open interest record of 80,208 contracts on 19 April 2001 (previous record of 78,661 set on 18 April 2001)

Open interest, a good indicator of liquidity and long term use of the market, stood at 8,518,900 on 30 April 2001.