ICE first exchange to hit 100,000 lots of ESTR open interest

Intercontinental Exchange hit on Monday 100,000 lots of open interest in euro short-term rate (ESTR) futures, making the US group the first exchange to pass that milestone in a market fiercely contested by ICE, CME Group and Eurex.

London-based ICE Futures Europe reported on Monday ESTR futures open interest (OI) of 102,999 contracts, a 51% share of the nascent European interest rate futures market.

Eurex, the largest ESTR venue by trading volume, reported on Monday ESTR futures open interest of 51,500 lots, giving the German exchange a 26% market share, while Chicago's CME Group, which was the dominant ESTR market for open interest until early March, had ESTR OI of 46,200 lots, 23% of the total.

Stelios Tselikas, head of Interest Rate Derivatives at ICE, said: "Our engagement with major investors to trade ICE's ESTR futures has led to the majority of open interest being held by end users.”

All three markets have reported solid open interest increases over the past month, with ICE’s total up 28%, Eurex’s OI increasing a third and CME Group’s total up 15% from mid-April, according to data from the exchanges.

Tselikas added: "Open interest is the best indicator of market health and maturity so surpassing the 100k open interest mark is a significant milestone in the development of the market and cements our strategy to build out our ESTR offering to trade alongside the largest pool of Euribor futures & options liquidity globally."

Eurex is currently the top ESTR market by volume, reporting 116,300 lots traded on Monday, which equated to a 64% market share.

ICE traded on Monday 50,300 ESTR futures contracts, a 27% market share, while CME reported 16,300 lots of ETSR futures, which equated to a 9% market share by volume, according to exchange data.

ICE launched on April 22 the industry’s first ESTR options contract and CME Group is set to launch on May 20 its options product based on the European risk-free-rate alternative to Libor.

Speaking on a panel at the FOW Trading Amsterdam conference in April, Mark Rogerson, the executive director and EMEA head of interest rate products at CME Group, said: “Volumes and open interest are a good way of demonstrating you have liquidity in a mature market but I’m not sure it’s a good way of describing liquid in a young and growing market because there are quite a lot of illusory effects.”

CME was the first of the three exchanges to launch ESTR futures, in November 2022, followed by Eurex in January 2023 before the German exchange re-launched its ESTR future in November last year, part of a larger European short-term interest rates initiative by the Frankfurt-based group.

ICE, home to the larger Euribor European interest rate futures market, launched its ESTR futures contract on November 1 last year.