Volatility was down 27% year-on-year (YoY) and down 6% month-on-month (MoM), with the MOVE index recording 80.43. This is the index’s lowest level since December 2021, Coalition Greenwich notes.
This influenced subdued electronic trading levels, report author Kevin McPartland said. E-trading was static YoY in the dealer-to-client space, remaining at 57%, but dropped down six percentage points on July’s figures. Dealer-to-dealer e-trading, already at two-year lows in July, was down eight percentage points YoY.
Overall, US rates trading has been stagnant over August, with average daily notional volumes flat YoY at US$1 trillion, but up 11% MoM.
Total e-trading was down 4 percentage points YoY and down three percentage points MoM to 52% of total volumes traded.
Central limit order book (CLOB) trading represented just 15% of the market in August, down four percentage points YoY as volatility declined.
A success story for the month was dollar interest rate swaps, the notional turnover of which was up 29% MoM and 76% YoY. This is the result of a re-steepened yield curve and increased interest rate hedging, Coalition Greenwich says.
©Markets Media Europe 2025
