Three-month Euroyen futures, TIFFE's flagship contract, actively traded as expectation to terminate zero rate policy soared in the first half of 2000. Especially in June, monthly volume recorded over 2.2 million contracts. In August, the price of Euroyen futures fell and the trading become more active, reflecting the abolishment of zero rate policy. From September to the year-end, the price gradually rose as stock prices continued to be weakened in Japan and the USA. To the contrary, the price of Dec. 2000 contract fell as cash money market rates, such as TIBOR, rose reflecting market participants' unawareness for the introduction of Real Time Gross Settlement (RTGS) system on the 4 January 2001.
Calendar spreads on Three-month Euroyen futures also traded actively as the yield curve movement. Trading of Calendar spreads set a monthly volume record in September at 43,614 contracts, and also set an annual record of 151,904 contracts in 2000.
