Electronic trading in US rates was up two percentage points year-on-year (YoY) and three percentage points month-on-month (MoM) in June, representing 56% of the market.
According to data sourced from FINRA, CME Group and Coalition Greenwich, dealer-to-client e-trading was up four percentage points YoY and five percentage points MoM to take 64% of volumes, its strongest performance year-to-date.
Average daily notional volumes were up 15% YoY but down 8.6% MoM to US$1.16 trillion.
Volatility continued to tumble, down 21% YoY and 8% MoM to 89.37 on Cboe’s volatility index. A recent Coalition Greenwich report notes that this signals an orderly market, despite uncertainty around upcoming Fed decisions.
The report also warns that large systematic trading firms may not be a fan of CME Group’s Treasury Link, expected to go live in Q4, potentially seeing the offering as a threat to their profit-making.
READ MORE: CME plans UST spread trading tool
“However, the market is already so big and well-trafficked that CME’s product is unlikely to hurt the returns of those firms and may, in fact, provide a new liquidity source,” the firm concludes.
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