A slight cooling in average daily notional volumes (ADNV) in US rates trading, down 7% to US$1,012 billion from May’s US$1,097 billion, still represented a 12% increase year-on-year (YoY) in June, according to Coalition Greenwich.
Overall electronic trading was up by two percentage points month on month (MoM) to 54% of the market, and down by two percentage points YoY. Dealer-to-client e-trading was the main growth contributor here, up by five percentage points MoM and 1 percentage point YoY.
Volatility fell to its lowest level since February, according to the MOVE Index, hitting 92.77 in June. This also marks a 4% YoY decline.
Report authors Kevin McPartland, market structure and technology head of research, and associate vice president Neha Jain warned that more settled activity should not be taken as a sign to relax, stating, “recent years have shown that Q3 is often a good period for electronic trading, driven by lower overall market volumes and a greater use of AutoEx when vacation season is in full swing. However, August market shocks are common, and so assuming an easy end to summer could be a fool’s errand.”
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