Average daily notional volumes in US rates jumped 11 percentage points year-on-year (YoY) in October, reaching US$989 billion. Volatility was down by 40%, with the MOVE index recorded at 73.39.
Coalition Greenwich expects high activity levels to continue through November and decline as the year ends, following the December 10th FOMC announcement.
Electronic trading levels declined by eight percentage points YoY to 55% of the market. Within this, dealer-to-client e-trading fell by five percentage points YoY to 63% – but rose by three percentage points from September, the highest level seen this year.
“On-the-phone packaged trading continues to keep activity away from [e-trading] platforms, although we fully expect innovative solutions to bring some of these trade types into the e-trading ecosystem in the months and years ahead,” Coalition Greenwich’s report stated.
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